三个变量 房屋销售价格指数V 货币M 利率R
进行了单位根检验。 结果均为一阶平稳。
然后直接进行协整。
我想继续做误差修正模型 可是 是不是要先把公式写出来呢？
可是系数里面写着3.29E-0.5 那方程该怎么写啊？
Date: 11/16/12 Time: 22:22 |
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Sample (adjusted): 2005M04 2010M12 |
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Included observations: 69 after adjustments |
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Trend assumption: Linear deterministic trend
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Series: VINDEX M2 R
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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 |
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No. of CE(s)
| Eigenvalue
| Statistic
| Critical Value
| Prob.**
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None * | 0.224538 | 36.22586 | 29.79707 | 0.0079 |
At most 1 * | 0.174424 | 18.67939 | 15.49471 | 0.0160 |
At most 2 *
| 0.075998
| 5.453845
| 3.841466
| 0.0195
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Trace test indicates 3 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 |
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No. of CE(s)
| Eigenvalue
| Statistic
| Critical Value
| Prob.**
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None | 0.224538 | 17.54647 | 21.13162 | 0.1478 |
At most 1 | 0.174424 | 13.22554 | 14.26460 | 0.0725 |
At most 2 *
| 0.075998
| 5.453845
| 3.841466
| 0.0195
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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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VINDEX | M2 | R |
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1.935441 | 8.23E-06 | 2.527027 |
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0.965967 | 1.46E-06 | 8.142993 |
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-1.410489
| 1.44E-05
| 11.24106
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Unrestricted Adjustment Coefficients (alpha):
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D(VINDEX) | -0.100138 | -0.050296 | -0.024396 |
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D(M2)
| 499.4574 | -1783.279 | 251.0424 |
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D(R)
| 0.004230
| 0.003277
| -0.010609
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1 Cointegrating Equation(s):
| Log likelihood
| -544.7656
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Normalized cointegrating coefficients (standard error in parentheses) |
VINDEX | M2 | R |
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1.000000 | 4.25E-06 | 1.305659 |
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| (2.0E-06)
| (1.72823) |
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Adjustment coefficients (standard error in parentheses)
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D(VINDEX) | -0.193811 |
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| (0.05915) |
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D(M2)
| 966.6704 |
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| (1106.09) |
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D(R)
| 0.008187 |
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| (0.00993)
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2 Cointegrating Equation(s):
| Log likelihood
| -538.1529
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Normalized cointegrating coefficients (standard error in parentheses) |
VINDEX | M2 | R |
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1.000000 | 0.000000 | 12.37250 |
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| (3.57790) |
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0.000000 | 1.000000 | -2602642. |
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| (904338.) |
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Adjustment coefficients (standard error in parentheses)
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D(VINDEX) | -0.242395 | -8.98E-07 |
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| (0.06462)
| (2.5E-07) |
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D(M2) | -755.9187 | 0.001501 |
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| (1133.24)
| (0.00438) |
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D(R) | 0.011352 | 3.96E-08 |
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| (0.01106)
| (4.3E-08)
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