用eviews 6.0做Johansen协整检验 ,操作结果如下,确定了有一个协整关系,向大家请教,该如何确定长期均衡关系方程呢?
无约束的协整秩检验──迹( Trace) 检验 |
原假设: 协整向量个数 | 特征值 | 迹统计量 | 5%临界值 | P值 |
0个 | 0.481747 | 19.09920 | 12.32090 | 0.0032 |
最多一个 | 0.001301 | 0.037765 | 4.129906 | 0.8736 |
无约束的协整秩检验———最大特征值( Maximum Eigenvalue) 检验 |
原假设: 协整向量个数 | 特征值 | 迹统计量 | 5%临界值 | P值 |
0个 | 0.481747 | 19.06143 | 11.22480 | 0.0018 |
最多一个 | 0.001301 | 0.037765 | 4.129906 | 0.8736 |
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
LGDP LGR
-3.065386 3.438023
5.472854 -2.772746
Unrestricted Adjustment Coefficients (alpha):
D(LGDP) 0.047505 -0.001892
D(LGR) 0.018576 0.000221
1 Cointegrating Equation(s): Log likelihood 79.33042
Normalized cointegrating coefficients (standard error in parentheses)
LGDP LGR
1.000000 -1.121563
(0.19442)
Adjustment coefficients (standard error in parentheses)
D(LGDP) -0.145622
(0.07498)
D(LGR) -0.056942
(0.02155)