我在写一篇论文,途中遇到以下问题,甚为头痛,希望各位大神给予帮助!
模型为:RRE=a1+a2*i+a3*r+a4*jqc+a5*inc
想通过协整求出方程。其中RRE为未知,希望通过方程估计。已经做了ADF检验,i r jqc inc均为一阶单整,打算做Johansen协整检验,出的结果如下
Date: 12/08/12 Time: 02:09
Sample (adjusted): 2001M03 2011M12
Included observations: 130 after adjustments
Trend assumption: Linear deterministic trend
Series: I INC JPC R
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 * 0.241319 67.75129 47.85613 0.0003
At most 1 * 0.136740 31.84872 29.79707 0.0286
At most 2 0.093306 12.73353 15.49471 0.1250
At most 3 1.95E-07 2.54E-05 3.841466 0.9982
想问的问题是:
1、检验结果没有likehood这项,是不是我操作有误?
2、我需要怎样操作才能让RRE(没有数据)出现在协整方程中呢?而不仅仅只像这样只有i inc jpc r。
2 Cointegrating Equation(s): Log likelihood 1153.180
Normalized cointegrating coefficients (standard error in parentheses)
I INC JPC R
1.000000 0.000000 -0.383994 -0.071494
(0.15011) (0.01414)
0.000000 1.000000 23.41559 -1.752125
(4.96356) (0.46758)