我在Eviews里面用johansen检验了2组数据数据的协整关系,选择的是第三种方式也就是有线趋势但方程只有截距的那项,可是结果做出来却没有常数项,觉得很郁闷,这样协整关系式写出来就感觉不对啊,别人做的都有常数项的貌似,谁能解答下呢,就是最后的地方没有常数项C的值啊,我很想要这个C的值,下面是结果:
Date: 05/05/12 Time: 17:42
Sample (adjusted): 1995 2009
Included observations: 15 after adjustments
Trend assumption: Linear deterministic trend
Series: DLG1 DLQ1
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 * 0.596030 22.19405 15.49471 0.0042
At most 1 * 0.436276 8.597851 3.841466 0.0034
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 0.596030 13.59620 14.26460 0.0636
At most 1 * 0.436276 8.597851 3.841466 0.0034
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):
DLG1 DLQ1
-6.656556 -8.312626
6.633234 -13.86758
Unrestricted Adjustment Coefficients (alpha):
D(DLG1) 0.062742 -0.043033
D(DLQ1) 0.071770 0.054893
1 Cointegrating Equation(s): Log likelihood 29.59201
Normalized cointegrating coefficients (standard error in parentheses)
DLG1 DLQ1
1.000000 1.248788
(0.58511)
Adjustment coefficients (standard error in parentheses)
D(DLG1) -0.417648
(0.16687)
D(DLQ1) -0.477743
(0.20466)