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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 EViews专版
2485 3
2011-03-17
下面是johansen检验的结果,通过对迹统计量检验,有一个协整关系。但通过最大特征值检验却有两个协整关系。这是什么原因呢,哪我这个协整是有一个还是两个啊,请大家帮我看看是,还有他的协整方程是什么呀?我以前没有接触过EVIEWS,问题可能比较弱,见笑、见笑。多谢多谢呀~~
Date: 03/17/11   Time: 10:57     
Sample (adjusted): 1998Q3 2004Q4     
Included observations: 26 after adjustments     
Trend assumption: Linear deterministic trend     
Series: MO GDP TT R01 X01      
Lags interval (in first differences): 1 to 1     
     
Unrestricted Cointegration Rank Test (Trace)     
     
Hypothesized  Trace 0.05  
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
     
None *  0.925912  113.9244  69.81889  0.0000
At most 1  0.690816  46.25950  47.85613  0.0701
At most 2  0.257282  15.74022  29.79707  0.7304
At most 3  0.217863  8.006808  15.49471  0.4647
At most 4  0.060332  1.617933  3.841466  0.2034
     
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level     
* denotes rejection of the hypothesis at the 0.05 level     
**MacKinnon-Haug-Michelis (1999) p-values     
     
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)     
     
Hypothesized  Max-Eigen 0.05  
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
     
None *  0.925912  67.66494  33.87687  0.0000
At most 1 *  0.690816  30.51928  27.58434  0.0204
At most 2  0.257282  7.733412  21.13162  0.9193
At most 3  0.217863  6.388874  14.26460  0.5638
At most 4  0.060332  1.617933  3.841466  0.2034
     
Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level     
* denotes rejection of the hypothesis at the 0.05 level     
**MacKinnon-Haug-Michelis (1999) p-values     
     
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):      
     
MO GDP TT R01 X01
-24.58864  17.51843 -104.5981 -89.19221  1.947729
4.294429 -4.127868  86.74621 -66.11885 -1.295806
9.960980 -10.83735 -46.81535 -29.92932 -0.833036
1.179915 -0.637039 -38.43052  6.407488  1.916006
-17.66220  8.704530  51.92858  60.66271  4.018396
     
     
Unrestricted Adjustment Coefficients (alpha):      
     
D(MO)  0.045103  0.008472 -0.007904 -0.004384  0.009854
D(GDP)  0.012670  0.027046 -0.014458  0.013709  0.013144
D(TT) -0.008054 -0.016762  0.006205  0.001871 -0.011118
D(R01)  0.015690  0.022937 -0.003897  0.000307  0.009660
D(X01) -0.026106 -0.084733  0.071443 -0.077694 -0.012177
     
     
1 Cointegrating Equation(s):   Log likelihood  286.2863  
     
Normalized cointegrating coefficients (standard error in parentheses)     
MO GDP TT R01 X01
1.000000 -0.712460  4.253918  3.627374 -0.079213
  (0.01434)  (0.39688)  (0.34060)  (0.00816)
     
Adjustment coefficients (standard error in parentheses)     
D(MO) -1.109032   
  (0.26501)   
D(GDP) -0.311533   
  (0.42253)   
D(TT)  0.198040   
  (0.28910)   
D(R01) -0.385792   
  (0.27562)   
D(X01)  0.641910   
  (1.38695)   
     
     
2 Cointegrating Equation(s):   Log likelihood  301.5459  
     
Normalized cointegrating coefficients (standard error in parentheses)     
MO GDP TT R01 X01
1.000000  0.000000 -41.41663  58.11369  0.558134
   (15.1454)  (13.2171)  (0.28619)
0.000000  1.000000 -64.10258  76.47628  0.894572
   (21.2108)  (18.5102)  (0.40080)
     
Adjustment coefficients (standard error in parentheses)     
D(MO) -1.072649  0.755170   
  (0.26461)  (0.19080)   
D(GDP) -0.195386  0.110313   
  (0.39999)  (0.28841)   
D(TT)  0.126056 -0.071904   
  (0.27734)  (0.19998)   
D(R01) -0.287290  0.180180   
  (0.24705)  (0.17814)   
D(X01)  0.278031 -0.107570   
  (1.32169)  (0.95301)   
     
     
3 Cointegrating Equation(s):   Log likelihood  305.4126  
     
Normalized cointegrating coefficients (standard error in parentheses)     
MO GDP TT R01 X01
1.000000  0.000000  0.000000  30.41573  0.142393
    (7.28950)  (0.16885)
0.000000  1.000000  0.000000  33.60676  0.251108
    (10.2953)  (0.23848)
0.000000  0.000000  1.000000 -0.668764 -0.010038
    (0.24239)  (0.00561)
     
Adjustment coefficients (standard error in parentheses)     
D(MO) -1.151383  0.840831 -3.612778  
  (0.28070)  (0.21944)  (1.50120)  
D(GDP) -0.339400  0.266998  1.697754  
  (0.42133)  (0.32937)  (2.25328)  
D(TT)  0.187860 -0.139145 -0.902076  
  (0.29614)  (0.23151)  (1.58376)  
D(R01) -0.326109  0.222415  0.531027  
  (0.26491)  (0.20709)  (1.41671)  
D(X01)  0.989672 -0.881821 -7.964234  
  (1.35316)  (1.05781)  (7.23664)  
     
     
4 Cointegrating Equation(s):   Log likelihood  308.6070  
     
Normalized cointegrating coefficients (standard error in parentheses)     
MO GDP TT R01 X01
1.000000  0.000000  0.000000  0.000000  1.513284
     (0.76552)
0.000000  1.000000  0.000000  0.000000  1.765824
     (0.85509)
0.000000  0.000000  1.000000  0.000000 -0.040180
     (0.01644)
0.000000  0.000000  0.000000  1.000000 -0.045072
     (0.02502)
     
Adjustment coefficients (standard error in parentheses)     
D(MO) -1.156556  0.843624 -3.444295 -4.374554
  (0.27967)  (0.21852)  (1.54671)  (1.19732)
D(GDP) -0.323225  0.258264  1.170917 -2.397747
  (0.41317)  (0.32282)  (2.28503)  (1.76886)
D(TT)  0.190069 -0.140338 -0.973999  1.652953
  (0.29620)  (0.23144)  (1.63816)  (1.26811)
D(R01) -0.325747  0.222219  0.519235 -2.797383
  (0.26515)  (0.20718)  (1.46644)  (1.13518)
D(X01)  0.898000 -0.832327 -4.978405  5.294814
  (1.26675)  (0.98976)  (7.00578)  (5.42322)
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2011-3-17 14:19:42
嘻嘻,一个朋友发过来高铁梅的PPT,太给力了,解决啦~
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2011-4-10 10:17:55
2# 微微的笑了 你好,我也在研究这个问题。不知道能不能发给我高老师的PPT呢?谢谢。我的邮箱是dashuifenzi@163.com
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2011-12-28 21:05:07
你好,我也在研究这个问题,需要高老师的PPT,麻烦您给我发一份,谢谢了!
我的邮箱li1211jia@163.com
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