写论文要用到VAR模型(总共五个变量,2004年至2008年的月度数据),需要估计残差向量的共同协方差矩阵(方差——协方差矩阵),下面哪一列是啊?求高手帮忙,感激不尽!
Vector Autoregression Estimates
Date: 12/11/12 Time: 15:54
Sample (adjusted): 2004Q3 2008Q4
Included observations: 504 after adjustments
Standard errors in ( ) & t-statistics in [ ]
AA BB CC DD EE
AA(-1) 0.905626 -0.670077 0.110825 1.403711 0.003087
(0.06626) (3.10587) (0.12402) (0.91463) (0.84967)
[ 13.6678] [-0.21575] [ 0.89360] [ 1.53473] [ 0.00363]
AA(-2) -0.001655 -4.562378 -0.049353 -0.450611 -0.151586
(0.07193) (3.37181) (0.13464) (0.99294) (0.92242)
[-0.02301] [-1.35310] [-0.36656] [-0.45381] [-0.16433]
BB(-1) -0.002209 0.593669 0.000220 0.014667 -0.039824
(0.00115) (0.05393) (0.00215) (0.01588) (0.01475)
[-1.92014] [ 11.0087] [ 0.10231] [ 0.92358] [-2.69938]
BB(-2) -1.62E-05 0.070963 -0.004830 -0.003063 0.022065
(0.00119) (0.05586) (0.00223) (0.01645) (0.01528)
[-0.01360] [ 1.27033] [-2.16545] [-0.18618] [ 1.44382]
CC(-1) -0.106663 -4.854572 0.462687 -0.411497 -0.648206
(0.02877) (1.34845) (0.05384) (0.39710) (0.36889)
[-3.70777] [-3.60012] [ 8.59296] [-1.03627] [-1.75716]
CC(-2) 0.068599 1.457026 0.099757 -0.181364 0.442429
(0.02936) (1.37643) (0.05496) (0.40534) (0.37655)
[ 2.33612] [ 1.05855] [ 1.81501] [-0.44744] [ 1.17495]
DD(-1) -0.005207 -0.297672 -0.012907 0.084499 0.048696
(0.00308) (0.14440) (0.00577) (0.04252) (0.03950)
[-1.69010] [-2.06143] [-2.23839] [ 1.98711] [ 1.23269]
DD(-2) 0.003701 -0.045298 0.006533 0.197633 0.023802
(0.00309) (0.14482) (0.00578) (0.04265) (0.03962)
[ 1.19795] [-0.31278] [ 1.12962] [ 4.63405] [ 0.60077]
EE(-1) 0.007656 0.145962 -0.001695 0.039711 -0.333949
(0.00369) (0.17320) (0.00692) (0.05100) (0.04738)
[ 2.07200] [ 0.84276] [-0.24508] [ 0.77859] [-7.04814]
EE(-2) 0.001037 0.273229 0.001833 0.084608 -0.129380
(0.00349) (0.16374) (0.00654) (0.04822) (0.04480)
[ 0.29676] [ 1.66864] [ 0.28038] [ 1.75463] [-2.88826]
C -0.002855 0.094575 0.002156 -0.007413 0.008113
(0.00134) (0.06295) (0.00251) (0.01854) (0.01722)
[-2.12566] [ 1.50229] [ 0.85752] [-0.39984] [ 0.47110]
R-squared 0.422337 0.370302 0.284388 0.080220 0.160803
Adj. R-squared 0.410620 0.357529 0.269873 0.061563 0.143781
Sum sq. resids 0.430884 946.7349 1.509560 82.10160 70.85400
S.E. equation 0.029564 1.385769 0.055335 0.408087 0.379104
F-statistic 36.04389 28.99150 19.59211 4.299778 9.446635
Log likelihood 1065.107 -874.0166 749.1660 -257.8611 -220.7324
Akaike AIC -4.182965 3.511971 -2.929230 1.066909 0.919573
Schwarz SC -4.090806 3.604130 -2.837071 1.159068 1.011732
Mean dependent -2.15E-05 0.080015 0.002394 -0.001033 -0.003672
S.D. dependent 0.038509 1.728877 0.064759 0.421260 0.409700