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目前结果如下:
Vector error-correction model
Sample: 2010m3 - 2021m12 Number of obs = 142
AIC = 25.01082
Log likelihood = -1766.768 HQIC = 25.08695
Det(Sigma_ml) = 2.20e+08 SBIC = 25.19816
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
D_tbr 4 169.273 0.3117 62.48736 0.0000
D_tbe 4 97.8873 0.4431 109.8128 0.0000
----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
D_tbr |
_ce1 |
L1. | -.9645016 .146612 -6.58 0.000 -1.251856 -.6771474
|
tbr |
LD. | .3103486 .1157126 2.68 0.007 .0835562 .5371411
|
tbe |
LD. | -.0529062 .1144134 -0.46 0.644 -.2771525 .17134
|
_cons | 2.573295 14.2188 0.18 0.856 -25.29504 30.44163
-------------+----------------------------------------------------------------
D_tbe |
_ce1 |
L1. | .4615185 .0847828 5.44 0.000 .2953472 .6276897
|
tbr |
LD. | .0348559 .0669143 0.52 0.602 -.0962937 .1660055
|
tbe |
LD. | -.1409736 .066163 -2.13 0.033 -.2706507 -.0112964
|
_cons | 5.377785 8.22245 0.65 0.513 -10.73792 21.49349
------------------------------------------------------------------------------
Cointegrating equations
Equation Parms chi2 P>chi2
-------------------------------------------
_ce1 1 311.9042 0.0000
-------------------------------------------
Identification: beta is exactly identified
Johansen normalization restriction imposed
------------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1 |
tbr | 1 . . . . .
tbe | -.9498707 .0537841 -17.66 0.000 -1.055286 -.8444558
_cons | -11.94878 . . . . .
------------------------------------------------------------------------------
我想检验协整方程tbe之前的系数是否显著为1,_cons是否显著为0,求问test命令怎么写呀,感激!