Unrestricted Cointegration Rank Test (Trace)



Hypothesized
Trace
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**


None *
0.646270
74.83443
47.85613
0.0000
At most 1 *
0.459511
33.26558
29.79707
0.0192
At most 2
0.172781
8.654354
15.49471
0.3983
At most 3
0.026321
1.066941
3.841466
0.3016


Trace 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 Cointegration Rank Test (Maximum Eigenvalue)



Hypothesized
Max-Eigen
0.05

No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**


None *
0.646270
41.56885
27.58434
0.0004
At most 1 *
0.459511
24.61122
21.13162
0.0155
At most 2
0.172781
7.587413
14.26460
0.4222
At most 3
0.026321
1.066941
3.841466
0.3016


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):



LNJINEER
LNCHUKOU
LNLCPI
LNCUSTOM

-7.232575
-13.86812
-16.97580
31.07587

-6.055423
5.049394
69.85053
-12.04874

13.84770
-1.242372
42.13686
-12.56646

15.67966
3.104094
30.35602
-14.44916





Unrestricted Adjustment Coefficients (alpha):



D(LNJINEER)
0.006761
0.007351
0.000379
-0.000161
D(LNCHUKOU)
0.030461
-0.024443
0.004730
0.001841
D(LNLCPI)
0.002092
-0.000714
-0.001682
0.000312
D(LNCUSTOM)
-0.011818
0.004033
0.002996
0.005791




1 Cointegrating Equation(s):
Log likelihood
424.8165



Normalized cointegrating coefficients (standard error in parentheses)

LNJINEER
LNCHUKOU
LNLCPI
LNCUSTOM

1.000000
1.917453
2.347130
-4.296654


(0.27035)
(1.53657)
(0.55970)



Adjustment coefficients (standard error in parentheses)

D(LNJINEER)
-0.048902


(0.01587)

D(LNCHUKOU)
-0.220314


(0.06003)

D(LNLCPI)
-0.015131


(0.00641)

D(LNCUSTOM)
0.085475


(0.05008)





2 Cointegrating Equation(s):
Log likelihood
437.1221



Normalized cointegrating coefficients (standard error in parentheses)

LNJINEER
LNCHUKOU
LNLCPI
LNCUSTOM

1.000000
0.000000
-7.327774
0.084475


(1.76520)
(0.20566)

0.000000
1.000000
5.045706
-2.284870


(1.02890)
(0.11988)



Adjustment coefficients (standard error in parentheses)

D(LNJINEER)
-0.093414
-0.056651


(0.01637)
(0.02562)

D(LNCHUKOU)
-0.072302
-0.545864


(0.06601)
(0.10327)

D(LNLCPI)
-0.010810
-0.032616


(0.00827)
(0.01294)

D(LNCUSTOM)
0.061055
0.184258


(0.06494)
(0.10160)





3 Cointegrating Equation(s):
Log likelihood
440.9158



Normalized cointegrating coefficients (standard error in parentheses)

LNJINEER
LNCHUKOU
LNLCPI
LNCUSTOM

1.000000
0.000000
0.000000
-0.725896


(0.08479)

0.000000
1.000000
0.000000
-1.726870


(0.06652)

0.000000
0.000000
1.000000
-0.110589


(0.01426)



Adjustment coefficients (standard error in parentheses)

D(LNJINEER)
-0.088170
-0.057121
0.414629


(0.02906)
(0.02569)
(0.14452)

D(LNCHUKOU)
-0.006803
-0.551740
-2.025149


(0.11635)
(0.10285)
(0.57859)

D(LNLCPI)
-0.034099
-0.030527
-0.156218


(0.01376)
(0.01216)
(0.06842)

D(LNCUSTOM)
0.102540
0.180536
0.608546


(0.11498)
(0.10164)
(0.57181)








请教大家一下：我知道这个结果存在两个协整关系，可是不知道是哪两个，也不知道找到的两个协整方程是否正确？怎样看其系数显不显著，拟合度怎样？希望大虾相助（在线等待中）