怎么解释协整检验的结果啊？关系式怎么看出来

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收藏 2013-05-17

Trend assumption: Linear deterministic trend
Series: Y X1 X2 X3 X4 X5
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 *    0.992673    217.4843    95.75366    0.0000
At most 1 *    0.953881    119.1611    69.81889    0.0000
At most 2 *    0.746179    57.63060    47.85613    0.0046
At most 3 *    0.609035    30.20808    29.79707    0.0448
At most 4    0.345000    11.42536    15.49471    0.1867
At most 5    0.137696    2.962946    3.841466    0.0852

Trace test indicates 4 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *    0.992673    98.32320    40.07757    0.0000
At most 1 *    0.953881    61.53051    33.87687    0.0000
At most 2    0.746179    27.42252    27.58434    0.0524
At most 3    0.609035    18.78273    21.13162    0.1033
At most 4    0.345000    8.462411    14.26460    0.3336
At most 5    0.137696    2.962946    3.841466    0.0852

Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

Y X1 X2 X3 X4 X5
-127.4000 -19.25329 -3.664874 -42.53775    113.9714 -0.476486
47.82547    13.54631 -7.016553    8.369574    64.36535    90.46661
118.3051    26.38691 -19.13924 -6.770968    155.4215    150.1841
43.95206    44.59194    5.515208 -8.854019    15.84510    47.91734
-28.78988 -50.63966    4.663981    50.50068 -59.91371 -35.55625
-84.45903 -24.90656    9.659422    43.13304 -119.9738 -118.1034

Unrestricted Adjustment Coefficients (alpha):

D(Y)    0.003172    0.010608 -0.004004    0.005571    0.003731
D(X1)    0.011447 -0.011763    0.020158 -0.019252    0.010789
D(X2)    0.024376    0.002122    0.003249 -0.019642 -0.010086
D(X3)    0.009585 -0.010867 -0.004761 -0.000805    0.000207
D(X4)    0.000997    0.000845 -0.000338    0.000553    0.000180
D(X5) -0.005018 -0.005271 -0.006570 -0.004450 -0.001695

1 Cointegrating Equation(s): Log likelihood    390.0177

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 X3 X4 X5
1.000000    0.151125    0.028767    0.333891 -0.894595    0.003740
   (0.01096)    (0.00382)    (0.01559)    (0.04377)    (0.02679)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.404129
   (0.57993)
D(X1) -1.458378
   (1.50192)
D(X2) -3.105447
   (1.20902)
D(X3) -1.221092
   (0.46277)
D(X4) -0.126966
   (0.10373)
D(X5)    0.639297
   (0.41659)

2 Cointegrating Equation(s): Log likelihood    420.7830

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 X3 X4 X5
1.000000    0.000000    0.229487    0.515635 -3.457302 -2.155677
   (0.03085)    (0.09036)    (0.33487)    (0.20677)
0.000000    1.000000 -1.328174 -1.202610    16.95757    14.28898
   (0.19895)    (0.58272)    (2.15945)    (1.33338)

Adjustment coefficients (standard error in parentheses)
D(Y)    0.103194    0.082623
   (0.45834)    (0.07929)
D(X1) -2.020944 -0.379741
   (1.53628)    (0.26577)
D(X2) -3.003947 -0.440560
   (1.28871)    (0.22294)
D(X3) -1.740798 -0.331741
   (0.24921)    (0.04311)
D(X4) -0.086562 -0.007743
   (0.10571)    (0.01829)
D(X5)    0.387215    0.025213
   (0.39387)    (0.06814)

3 Cointegrating Equation(s): Log likelihood    434.4942

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 X3 X4 X5
1.000000    0.000000    0.000000 -0.220046 -1.069405 -1.580655
   (0.18505)    (0.34068)    (0.32026)
0.000000    1.000000    0.000000    3.055212    3.137401    10.96098
   (1.10444)    (2.03329)    (1.91146)
0.000000    0.000000    1.000000    3.205771 -10.40539 -2.505691
   (0.65624)    (1.20815)    (1.13576)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.370442 -0.023018 -0.009431
   (0.57045)    (0.11187)    (0.06552)
D(X1)    0.363874    0.152172 -0.345230
   (1.74440)    (0.34209)    (0.20037)
D(X2) -2.619581 -0.354831 -0.166407
   (1.69923)    (0.33324)    (0.19518)
D(X3) -2.304060 -0.457372    0.132244
   (0.21824)    (0.04280)    (0.02507)
D(X4) -0.126519 -0.016655 -0.003116
   (0.13896)    (0.02725)    (0.01596)
D(X5) -0.390029 -0.148145    0.181115
   (0.39425)    (0.07732)    (0.04529)

4 Cointegrating Equation(s): Log likelihood    443.8856

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 X3 X4 X5
1.000000    0.000000    0.000000    0.000000 -1.041138 -1.066745
   (0.20980)    (0.21054)
0.000000    1.000000    0.000000    0.000000    2.744930    3.825642
   (0.48484)    (0.48655)
0.000000    0.000000    1.000000    0.000000 -10.81720 -9.992656
   (0.70899)    (0.71149)
0.000000    0.000000    0.000000    1.000000    0.128460    2.335465
   (0.51152)    (0.51333)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.125603    0.225385    0.021291 -0.068367
   (0.50564)    (0.15505)    (0.05839)    (0.12195)
D(X1) -0.482306 -0.706327 -0.451411 -0.551420
   (1.46962)    (0.45064)    (0.16972)    (0.35445)
D(X2) -3.482904 -1.230723 -0.274739 -0.867203
   (1.39694)    (0.42836)    (0.16132)    (0.33692)
D(X3) -2.339456 -0.493283    0.127802 -0.459294
   (0.22044)    (0.06760)    (0.02546)    (0.05317)
D(X4) -0.102197    0.008020 -6.40E-05 -0.037935
   (0.13992)    (0.04291)    (0.01616)    (0.03375)
D(X5) -0.585619 -0.346583    0.156572    0.253226
   (0.32837)    (0.10069)    (0.03792)    (0.07920)

5 Cointegrating Equation(s): Log likelihood    448.1168

Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 X3 X4 X5
1.000000    0.000000    0.000000    0.000000    0.000000 -0.438958
   (0.14289)
0.000000    1.000000    0.000000    0.000000    0.000000    2.170500
   (0.31728)
0.000000    0.000000    1.000000    0.000000    0.000000 -3.470083
   (1.29369)
0.000000    0.000000    0.000000    1.000000    0.000000    2.258006
   (0.15882)
0.000000    0.000000    0.000000    0.000000    1.000000    0.602982
   (0.11010)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.233020    0.036446    0.038693    0.120054    0.286799
   (0.47001)    (0.19064)    (0.05489)    (0.16888)    (0.53162)
D(X1) -0.792910 -1.252659 -0.401093 -0.006587    2.729111
   (1.36733)    (0.55460)    (0.15969)    (0.49129)    (1.54657)
D(X2) -3.192539 -0.719988 -0.321778 -1.376536    3.712707
   (1.30360)    (0.52875)    (0.15225)    (0.46840)    (1.47448)
D(X3) -2.345426 -0.503784    0.128770 -0.448821 -0.372221
   (0.22280)    (0.09037)    (0.02602)    (0.08005)    (0.25200)
D(X4) -0.107374 -0.001086    0.000775 -0.028853    0.113461
   (0.14126)    (0.05730)    (0.01650)    (0.05076)    (0.15978)
D(X5) -0.536823 -0.260753    0.148667    0.167632 -1.901229
   (0.31934)    (0.12952)    (0.03730)    (0.11474)    (0.36120)

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ermutuxia

2013-5-17 11:01:55

看标准化后的协整系数

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何干

2013-5-20 17:06:43

ermutuxia 发表于 2013-5-17 11:01
看标准化后的协整系数

1 Cointegrating Equation(s):                Log likelihood       390.0177

Normalized cointegrating coefficients (standard error in parentheses)
Y       X1       X2       X3       X4       X5
1.000000       0.151125       0.028767       0.333891       -0.894595       0.003740
      (0.01096)       (0.00382)       (0.01559)       (0.04377)       (0.02679)

您说的是这个吗？怎么没有C值啊

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何干

2013-5-20 18:00:19

ermutuxia 发表于 2013-5-17 11:01
看标准化后的协整系数

Unrestricted Cointegration Rank Test (Trace)

Hypothesized             Trace       0.05
No. of CE(s)       Eigenvalue       Statistic       Critical Value       Prob.**

None *       0.992673       217.4843       95.75366       0.0000
At most 1 *       0.953881       119.1611       69.81889       0.0000
At most 2 *       0.746179       57.63060       47.85613       0.0046
At most 3 *       0.609035       30.20808       29.79707       0.0448
At most 4       0.345000       11.42536       15.49471       0.1867
At most 5       0.137696       2.962946       3.841466       0.0852

Trace test indicates 4 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized             Max-Eigen       0.05
No. of CE(s)       Eigenvalue       Statistic       Critical Value       Prob.**

None *       0.992673       98.32320       40.07757       0.0000
At most 1 *       0.953881       61.53051       33.87687       0.0000
At most 2       0.746179       27.42252       27.58434       0.0524
At most 3       0.609035       18.78273       21.13162       0.1033
At most 4       0.345000       8.462411       14.26460       0.3336
At most 5       0.137696       2.962946       3.841466       0.0852

请问协整检验结果是哪个啊

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胖胖小龟宝

2015-12-25 13:29:44

Trace和Maximum Eigenvalue

Trace test indicates 4 cointegrating eqn(s) at the 0.05 level
Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level

这是两种方法分别检验出来的协整关系个数

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