关于多变量协整结果疑问

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收藏 2012-02-10

单位根检验后（都是I（1）），进行协整分析，有两个协整方程  ，但发现协整方程得到的系数和经济意义好像有点不符合是不是变量太少呃还是数据本身有问题。其中LPP是农林渔牧业产值，LDOC 是卫生人员数 LEDU  是教育投资 LELE是用电量 LROAD 是公路里程结果如下所示，望各位大侠帮忙，谢谢啦！
Date: 02/10/12 Time: 16:05
Sample (adjusted): 1992 2010
Included observations: 19 after adjustments
Trend assumption: Linear deterministic trend
Series: LPP LDOC LEDU LELC LROAD
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

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

None *  0.888674  93.30451  69.81889  0.0002
At most 1 *  0.719479  51.59403  47.85613  0.0214
At most 2  0.624792  27.44300  29.79707  0.0912
At most 3  0.324800  8.817777  15.49471  0.3825
At most 4  0.068861  1.355591  3.841466  0.2443

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 *  0.888674  41.71048  33.87687  0.0048
At most 1  0.719479  24.15103  27.58434  0.1295
At most 2  0.624792  18.62522  21.13162  0.1082
At most 3  0.324800  7.462187  14.26460  0.4360
At most 4  0.068861  1.355591  3.841466  0.2443

Max-eigenvalue 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

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gameover00

2012-2-10 16:20:47

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

LPP LDOC LEDU LELC LROAD
-1.092716 -21.82904 -178.5391    12.60506    9.903685
-7.033450 -14.44025    28.73180    5.528697 -1.352187
-1.209761    2.447833    7.536123 -9.694123    5.111979
7.840667    8.814137    113.2967 -28.40799 -4.390593
6.236965 -9.367738    57.45315 -12.92893 -3.425011

Unrestricted Adjustment Coefficients (alpha):

D(LPP) -0.036064    0.069840 -0.013390 -0.036497 -0.012363
D(LDOC)    0.028659    0.007532 -0.011149    0.005007    0.000721
D(LEDU)    0.002758 -0.005771 -0.002423 -0.001279 -0.001561
D(LELC)    0.013239    0.015052 -0.001314    0.006983 -0.003431
D(LROAD) -0.025247 -0.017516 -0.064153    0.024914    0.005861

1 Cointegrating Equation(s): Log likelihood    197.3086

Normalized cointegrating coefficients (standard error in parentheses)
LPP LDOC LEDU LELC LROAD
1.000000    19.97687    163.3903 -11.53554 -9.063369
   (2.54398)    (18.4576)    (2.04912)    (1.06935)

Adjustment coefficients (standard error in parentheses)
D(LPP)    0.039408
   (0.03672)
D(LDOC) -0.031316
   (0.00681)
D(LEDU) -0.003013
   (0.00311)
D(LELC) -0.014466
   (0.00811)
D(LROAD)    0.027588
   (0.03075)

2 Cointegrating Equation(s): Log likelihood    209.3841

Normalized cointegrating coefficients (standard error in parentheses)
LPP LDOC LEDU LELC LROAD
1.000000    0.000000 -23.26849    0.445242    1.252437
   (5.07774)    (0.62677)    (0.31405)
0.000000    1.000000    9.343744 -0.599733 -0.516388
   (0.90037)    (0.11114)    (0.05569)

Adjustment coefficients (standard error in parentheses)
D(LPP) -0.451807 -0.221252
   (0.19135)    (0.70361)
D(LDOC) -0.084295 -0.734359
   (0.04154)    (0.15275)
D(LEDU)    0.037576    0.023138
   (0.01641)    (0.06033)
D(LELC) -0.120331 -0.506335
   (0.04281)    (0.15742)
D(LROAD)    0.150783    0.804047
   (0.19705)    (0.72457)

3 Cointegrating Equation(s): Log likelihood    218.6967

Normalized cointegrating coefficients (standard error in parentheses)
LPP LDOC LEDU LELC LROAD
1.000000    0.000000    0.000000    4.558724 -2.970052
   (1.65217)    (0.68779)
0.000000    1.000000    0.000000 -2.251551    1.179204
   (0.66818)    (0.27816)
0.000000    0.000000    1.000000    0.176783 -0.181468
   (0.07229)    (0.03010)

Adjustment coefficients (standard error in parentheses)
D(LPP) -0.435608 -0.254028    8.344627
   (0.19208)    (0.69934)    (4.81507)
D(LDOC) -0.070807 -0.761650 -4.984269
   (0.03515)    (0.12797)    (0.88112)
D(LEDU)    0.040507    0.017208 -0.676396
   (0.01586)    (0.05774)    (0.39755)
D(LELC) -0.118741 -0.509552 -1.941054
   (0.04334)    (0.15780)    (1.08647)
D(LROAD)    0.228394    0.647010    3.520839
   (0.14856)    (0.54091)    (3.72430)

4 Cointegrating Equation(s): Log likelihood    222.4278

Normalized cointegrating coefficients (standard error in parentheses)
LPP LDOC LEDU LELC LROAD
1.000000    0.000000    0.000000    0.000000 -0.910693
   (0.09770)
0.000000    1.000000    0.000000    0.000000    0.162088
   (0.03635)
0.000000    0.000000    1.000000    0.000000 -0.101608
   (0.00494)
0.000000    0.000000    0.000000    1.000000 -0.451740
   (0.03455)

Adjustment coefficients (standard error in parentheses)
D(LPP) -0.721770 -0.575718    4.209629    1.098138
   (0.26037)    (0.67729)    (5.21618)    (0.80667)
D(LDOC) -0.031547 -0.717515 -4.416960    0.368721
   (0.04955)    (0.12889)    (0.99264)    (0.15351)
D(LEDU)    0.030476    0.005931 -0.821341    0.062685
   (0.02308)    (0.06003)    (0.46234)    (0.07150)
D(LELC) -0.063993 -0.448007 -1.149959    0.064471
   (0.06027)    (0.15677)    (1.20735)    (0.18671)
D(LROAD)    0.423738    0.866608    6.343546 -0.500932
   (0.20549)    (0.53453)    (4.11667)    (0.63663)

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gameover00

2012-2-10 16:22:00

系数的值都好大啊对数据都进行了取对处理

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gameover00

2012-2-10 17:06:56

初学者在线等高手指点进行不下去了急急急

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