3个序列a1、a2、a3,形成的vec方程为:
VAR Model - Substituted Coefficients:
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D(A1) = - 0.9565683581*( A1(-1) - 0.5336183338*A3(-1) + 1.646683107 ) - 0.1619957344*( A2(-1) - 0.7740130261*A3(-1) + 0.7328395347 ) + 0.1460737637*D(A1(-1)) + 0.07662429041*D(A1(-2)) + 0.05245154682*D(A2(-1)) + 0.0580380043*D(A2(-2)) - 0.4643510019*D(A3(-1)) - 0.2601843552*D(A3(-2)) + 0.02018842156
D(A2) = 0.377394438*( A1(-1) - 0.5336183338*A3(-1) + 1.646683107 ) - 1.503347789*( A2(-1) - 0.7740130261*A3(-1) + 0.7328395347 ) - 0.09901922286*D(A1(-1)) - 0.06319451246*D(A1(-2)) + 0.3002489883*D(A2(-1)) + 0.1266927584*D(A2(-2)) - 0.7340931979*D(A3(-1)) - 0.3188236539*D(A3(-2)) + 0.01340752886
D(A3) = 0.426330998*( A1(-1) - 0.5336183338*A3(-1) + 1.646683107 ) - 0.08331465186*( A2(-1) - 0.7740130261*A3(-1) + 0.7328395347 ) - 0.14108432*D(A1(-1)) - 0.0663262543*D(A1(-2)) + 0.03276683022*D(A2(-1)) + 0.01010176024*D(A2(-2)) - 0.6560219664*D(A3(-1)) - 0.2924067712*D(A3(-2)) + 0.01192545519
Vector Error Correction Estimates
Date: 08/01/07 Time: 14:30
Sample (adjusted): 4 300
Included observations: 297 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1 CointEq2
A1(-1) 1.000000 0.000000
A2(-1) 0.000000 1.000000
A3(-1) -0.533618 -0.774013
(0.08245) (0.06987)
[-6.47197] [-11.0782]
C 1.646683 0.732840
Error Correction: D(A1) D(A2) D(A3)
CointEq1 -0.956568 0.377394 0.426331
(0.13016) (0.15118) (0.13893)
[-7.34906] [ 2.49625] [ 3.06859]
CointEq2 -0.161996 -1.503348 -0.083315
(0.14755) (0.17138) (0.15750)
[-1.09788] [-8.77180] [-0.52899]
D(A1(-1)) 0.146074 -0.099019 -0.141084
(0.10501) (0.12198) (0.11209)
[ 1.39098] [-0.81179] [-1.25865]
D(A1(-2)) 0.076624 -0.063195 -0.066326
(0.07591) (0.08817) (0.08102)
[ 1.00946] [-0.71677] [-0.81862]
D(A2(-1)) 0.052452 0.300249 0.032767
(0.11345) (0.13177) (0.12110)
[ 0.46233] [ 2.27852] [ 0.27059]
D(A2(-2)) 0.058038 0.126693 0.010102
(0.07636) (0.08869) (0.08150)
[ 0.76010] [ 1.42852] [ 0.12394]
D(A3(-1)) -0.464351 -0.734093 -0.656022
(0.09012) (0.10468) (0.09620)
[-5.15233] [-7.01271] [-6.81949]
D(A3(-2)) -0.260184 -0.318824 -0.292407
(0.06978) (0.08105) (0.07448)
[-3.72871] [-3.93374] [-3.92591]
C 0.020188 0.013408 0.011925
(0.11726) (0.13620) (0.12517)
[ 0.17216] [ 0.09844] [ 0.09528]
R-squared 0.422431 0.494294 0.403248
Adj. R-squared 0.406387 0.480246 0.386672
Sum sq. resids 1175.861 1586.358 1339.689
S.E. equation 2.020606 2.346953 2.156780
F-statistic 26.33021 35.18758 24.32661
Log likelihood -625.7642 -670.2311 -645.1342
Akaike AIC 4.274507 4.573947 4.404944
Schwarz SC 4.386438 4.685878 4.516875
Mean dependent 0.020202 0.016835 0.010101
S.D. dependent 2.622588 3.255409 2.753971
Determinant resid covariance (dof adj.) 37.57840
Determinant resid covariance 34.26466
Log likelihood -1789.090
Akaike information criterion 12.26997
Schwarz criterion 12.68038
请教一下:
1、方程左边的D(A1) 、D(A2)、D(A3)表示的是什么意思?
2、方程中的D(A1(-1)) 、D(A1(-2)) 等表示的是什么意思?数值从什么地方得到?
3、我怎样得到用a1、a2、a3的滞后量表示的方程形式呢?
4、初学者,请问在那本书上有这个的详细介绍?
5、谢谢回复!