| 下面是我做协整检验得出的结果,请大家帮我看一下,标准化的协整方程应该怎么写,特别是常数项从哪里得出? 很着急用,谢谢啦! Date: 03/26/07 Time: 21:32 | | |
| Sample (adjusted): 1991 2005 | | |
| Included observations: 15 after adjustments | |
| Trend assumption: Linear deterministic trend | |
| Series: DLNFDI DLNIPR | | |
| Lags interval (in first differences): 1 to 2 | |
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| Unrestricted Cointegration Rank Test (Trace) | |
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| Hypothesized | | Trace | 0.05 | |
| No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** |
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| None * | 0.602150 | 17.16809 | 15.49471 | 0.0277 |
| At most 1 | 0.199772 | 3.342871 | 3.841466 | 0.0675 |
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| Trace 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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| Unrestricted Cointegration Rank Test (Maximum Eigenvalue) |
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| Hypothesized | | Max-Eigen | 0.05 | |
| No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** |
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| None | 0.602150 | 13.82522 | 14.26460 | 0.0586 |
| At most 1 | 0.199772 | 3.342871 | 3.841466 | 0.0675 |
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| 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 | |
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| Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): |
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| DLNFDI | DLNIPR | | | |
| -0.416110 | 9.253801 | | | |
| 5.673764 | 1.240997 | | | |
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| Unrestricted Adjustment Coefficients (alpha): | |
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| D(DLNFDI) | 0.054239 | -0.083706 | | |
| D(DLNIPR) | -0.169813 | -0.033790 | | |
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| 1 Cointegrating Equation(s): | Log likelihood | 10.44418 | |
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| Normalized cointegrating coefficients (standard error in parentheses) |
| DLNFDI | DLNIPR | | | |
| 1.000000 | -22.23881 | | | |
| | (6.06852) | | | |
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| Adjustment coefficients (standard error in parentheses) | |
| D(DLNFDI) | -0.022569 | | | |
| | (0.02669) | | | |
| D(DLNIPR) | 0.070661 | | | |
| | (0.02183) | | | |
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