Unrestricted Cointegration Rank Test (Trace)



Hypothesized
Trace
0.05

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


None *
0.646269966964707
74.8344269363416
47.8561271577786
2.82441042337977e-05
At most 1 *
0.459510764861326
33.2655759229743
29.797073340493
0.0191552538069298
At most 2
0.172780599554364
8.6543535794383
15.4947128759347
0.398324866136655
At most 3
0.0263209208253668
1.06694068531645
3.84146550094041
0.301636636997194


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 *
0.646269966964707
41.5688510133674
27.5843377897976
0.000440469743872147
At most 1 *
0.459510764861326
24.611222343536
21.1316162967615
0.0155153906068167
At most 2
0.172780599554364
7.58741289412186
14.2646001532375
0.422200027872422
At most 3
0.0263209208253668
1.06694068531645
3.84146550094041
0.301636636997194


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

-7.23257475839521
-13.8681208017446
-16.9757952958029
31.0758734102356

-6.05542304774653
5.04939442417718
69.8505322618706
-12.0487428226956

13.847704343561
-1.24237204713714
42.1368616750167
-12.566456315785

15.6796587006731
3.10409397581434
30.3560229519805
-14.4491598347675





Unrestricted Adjustment Coefficients (alpha):



D(LNJINEER)
0.00676137923429656
0.00735072003027176
0.000378686453082364
-0.000160861749342954
D(LNCHUKOU)
0.0304613877055947
-0.0244428762475609
0.00472994615838706
0.00184138297031819
D(LNLCPI)
0.00209208749378457
-0.000713524662727159
-0.00168173248393818
0.000311778500487405
D(LNCUSTOM)
-0.0118181196648078
0.00403279296685335
0.00299575557377597
0.00579144721872346




1 Cointegrating Equation(s):
Log likelihood
424.816507206726



Normalized cointegrating coefficients (standard error in parentheses)

LNJINEER
LNCHUKOU
LNLCPI
LNCUSTOM

1
1.91745281106803
2.34713029078597
-4.29665429647504


0.270348174716562
1.53657466096437
0.559695144810815



Adjustment coefficients (standard error in parentheses)

D(LNJINEER)
-0.0489021807819109


0.0158690753081186

D(LNCHUKOU)
-0.220314263825177


0.060025685444431

D(LNLCPI)
-0.0151311791999008


0.00641019297397484

D(LNCUSTOM)
0.0854754339793838


0.0500754182816428





2 Cointegrating Equation(s):
Log likelihood
437.122118378494



Normalized cointegrating coefficients (standard error in parentheses)

LNJINEER
LNCHUKOU
LNLCPI
LNCUSTOM

1
0
-7.32777376478967
0.0844754650151481


1.76519611318881
0.205661956428815

0
1
5.04570647044328
-2.28486966469327


1.02889798058495
0.119876295937732



Adjustment coefficients (standard error in parentheses)

D(LNJINEER)
-0.0934139002707509
-0.0566509392730909


0.0163735629780756
0.0256183531930918

D(LNCHUKOU)
-0.0723023076424816
-0.545863927525258


0.0660056236443344
0.103273513621627

D(LNLCPI)
-0.0108104855120872
-0.0326161895451113


0.00826946580653389
0.0129385458762794

D(LNCUSTOM)
0.0610551665011102
0.18425827348172


0.064938752990175
0.101604269776155





3 Cointegrating Equation(s):
Log likelihood
440.915824825555



Normalized cointegrating coefficients (standard error in parentheses)

LNJINEER
LNCHUKOU
LNLCPI
LNCUSTOM

1
0
0
-0.72589613956609


0.0847880127111017

0
1
0
-1.72686973457173


0.0665235211622977

0
0
1
-0.110589058913788


0.0142606994015895



Adjustment coefficients (standard error in parentheses)

D(LNJINEER)
-0.0881699622295546
-0.0571214087370299
0.414628575515497


0.029060721052911
0.0256885577056794
0.144518486457455

D(LNCHUKOU)
-0.00680341168017544
-0.551740280416902
-2.02514911101321


0.116347272229209
0.102846505808191
0.578593065719355

D(LNLCPI)
-0.0340986197346255
-0.030526852116304
-0.156217855558947


0.0137584046009891
0.0121618995580699
0.0684203191443197

D(LNCUSTOM)
0.102539503972335
0.180536430496806
0.608546453672081


0.114983872440998
0.101641312926995
0.571812901061017




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）