请大家帮帮我看一下我的协整检验结果

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收藏 2011-03-26

Unrestricted Cointegration Rank Test (Trace)

Hypothesized             Trace       0.05
No. of CE(s)       Eigenvalue       Statistic       Critical Value       Prob.**

None *       0.497057       53.22343       47.85613       0.0144
At most 1       0.346756       25.73233       29.79707       0.1369
At most 2       0.171383       8.700128       15.49471       0.3939
At most 3       0.029075       1.180229       3.841466       0.2773

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       0.497057       27.49110       27.58434       0.0514
At most 1       0.346756       17.03220       21.13162       0.1705
At most 2       0.171383       7.519899       14.26460       0.4296
At most 3       0.029075       1.180229       3.841466       0.2773

Max-eigenvalue test indicates no cointegration 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):

LNGDP       LNX       LNCHUKOU       LNNEER
-15.50355       -8.967326       21.98864       47.19123
32.85583       7.984360       -31.45204       -58.13248
3.024988       1.916909       -6.151985       20.73252
-22.86219       29.49224       -14.09549       34.52868


Unrestricted Adjustment Coefficients (alpha):

D(LNGDP)       -0.000183       0.001789       -0.002625       0.001593
D(LNX)       -0.015540       -0.005725       -0.002560       0.003071
D(LNCHUKOU)       -0.012322       0.011345       0.003753       0.007051
D(LNNEER)       -0.003028       0.004765       -0.003006       -0.001961


1 Cointegrating Equation(s):                Log likelihood       413.2856

Normalized cointegrating coefficients (standard error in parentheses)
LNGDP       LNX       LNCHUKOU       LNNEER
1.000000       0.578405       -1.418297       -3.043898
      (0.39816)       (0.42014)       (0.42229)

Adjustment coefficients (standard error in parentheses)
D(LNGDP)       0.002842
      (0.03556)
D(LNX)       0.240924
      (0.08053)
D(LNCHUKOU)       0.191041
      (0.14635)
D(LNNEER)       0.046952
      (0.04900)


2 Cointegrating Equation(s):                Log likelihood       421.8017

Normalized cointegrating coefficients (standard error in parentheses)
LNGDP       LNX       LNCHUKOU       LNNEER
1.000000       0.000000       -0.623236       -0.845812
               (0.04191)       (0.53349)
0.000000       1.000000       -1.374576       -3.800256
               (0.11210)       (1.42687)

Adjustment coefficients (standard error in parentheses)
D(LNGDP)       0.061618       0.015927
      (0.08235)       (0.02722)
D(LNX)       0.052813       0.093638
      (0.18425)       (0.06089)
D(LNCHUKOU)       0.563795       0.201083
      (0.33329)       (0.11015)
D(LNNEER)       0.203515       0.065204
      (0.10969)       (0.03625)


3 Cointegrating Equation(s):                Log likelihood       425.5617

Normalized cointegrating coefficients (standard error in parentheses)
LNGDP       LNX       LNCHUKOU       LNNEER
1.000000       0.000000       0.000000       -12.52392
                     (4.90319)
0.000000       1.000000       0.000000       -29.55690
                     (11.0330)
0.000000       0.000000       1.000000       -18.73788
                     (7.87813)

Adjustment coefficients (standard error in parentheses)
D(LNGDP)       0.053677       0.010895       -0.044147
      (0.08048)       (0.02684)       (0.08580)
D(LNX)       0.045069       0.088731       -0.145878
      (0.18398)       (0.06136)       (0.19614)
D(LNCHUKOU)       0.575148       0.208277       -0.650870
      (0.33337)       (0.11119)       (0.35541)
D(LNNEER)       0.194422       0.059442       -0.197972
      (0.10795)       (0.03600)       (0.11509)


分析出的协整方程有没有像回归结果有拟合度？怎样看我建立的模型是合适的呢？请各位大虾帮忙。