我做了一个Johansen检验,但是结果总是有些问题,我用美国GDP记作UGDP,我国对美国的出口UEX,人民币实际有效汇率NEER,建立了VAR模型,lag intervals of endogenous设置为1 1,设置为其他的会报错。这时VAR模型建立了。然后对VAR模型进行Johansen检验,选择Summary of all 5 sets of assumptions,lag intervals输入1 1,critical values默认选择MHM,size0.05,点击OK。老是报错insufficient number of observations。我把lag inervals的区间换成0 0,1 2等很多还是报错,不知道是什么原因,我查了很多资料也不知道是什么原因。
非常感谢哪位高手指点!
var模型执行结果:
UEX UGDP NEER
UEX(-1) -3.938949 -0.905601 103.7275
(2.07741) (0.24343) (43.0942)
[-1.89609] [-3.72023] [ 2.40699]
UGDP(-1) 15.11465 3.423773 -310.3093
(7.71102) (0.90356) (159.959)
[ 1.96014] [ 3.78921] [-1.93993]
NEER(-1) 0.034065 0.005934 0.006442
(0.01368) (0.00160) (0.28372)
[ 2.49070] [ 3.70246] [ 0.02271]
C -119.1715 -18.54809 2470.567
(62.7161) (7.34892) (1301.00)
[-1.90018] [-2.52392] [ 1.89898]
R-squared 0.895260 0.942310 0.981177
Adj. R-squared 0.581041 0.769242 0.924708
Sum sq. resids 0.006749 9.27E-05 2.904119
S.E. equation 0.082151 0.009626 1.704147
F-statistic 2.849154 5.444716 17.37549
Log likelihood 9.424911 20.14523 -5.736423
Akaike AIC -2.169964 -6.458093 3.894569
Schwarz SC -2.482414 -6.770543 3.582119
Mean dependent 5.467948 9.423852 109.3190
S.D. dependent 0.126918 0.020039 6.210587