初学Eviews,按步骤操作协整检验得到如下结果,请大家教教我怎么读这个结果?最后的协整方程怎么写?感激不尽!
Date: 03/01/14 Time: 11:30
Sample (adjusted): 1993M03 2013M11
Included observations: 249 after adjustments
Trend assumption: Linear deterministic trend
Series: LOGY CPI IR LOGGDP LOGM1
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 * 0.201334 118.3762 69.81889 0.0000
At most 1 * 0.150064 62.39798 47.85613 0.0012
At most 2 0.044321 21.91209 29.79707 0.3034
At most 3 0.040185 10.62416 15.49471 0.2357
At most 4 0.001652 0.411602 3.841466 0.5212
Trace 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 Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.201334 55.97827 33.87687 0.0000
At most 1 * 0.150064 40.48588 27.58434 0.0007
At most 2 0.044321 11.28793 21.13162 0.6186
At most 3 0.040185 10.21256 14.26460 0.1983
At most 4 0.001652 0.411602 3.841466 0.5212
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):
LOGY CPI IR LOGGDP LOGM1
1.440427 0.680616 -0.667991 -4.195870 0.721903
1.653037 0.689941 -0.007924 -1.863995 -1.564022
-4.591761 0.327716 0.480887 8.138642 1.078166
-0.047183 -0.078417 -0.086333 6.571974 -5.774495
-3.337882 0.000551 -0.221311 5.601793 -6.559605
Unrestricted Adjustment Coefficients (alpha):
D(LOGY) -0.005615 -0.011422 0.002980 -0.003445 -0.000671
D(CPI) -0.071613 -0.081942 -0.036671 0.037562 0.003375
D(IR) 0.053769 -0.047187 -0.011045 -0.035769 0.014858
D(LOGGDP) 2.13E-06 -7.09E-05 -0.000268 -0.000207 -2.56E-05
D(LOGM1) 0.003287 -0.001218 1.85E-06 0.000627 -0.000108
1 Cointegrating Equation(s): Log likelihood 2255.114
Normalized cointegrating coefficients (standard error in parentheses)
LOGY CPI IR LOGGDP LOGM1
1.000000 0.472510 -0.463745 -2.912935 0.501173
(0.09075) (0.06729) (0.60305) (0.76395)
Adjustment coefficients (standard error in parentheses)
D(LOGY) -0.008088
(0.00389)
D(CPI) -0.103154
(0.03433)
D(IR) 0.077451
(0.04084)
D(LOGGDP) 3.06E-06
(0.00016)
D(LOGM1) 0.004735
(0.00077)
2 Cointegrating Equation(s): Log likelihood 2275.357
Normalized cointegrating coefficients (standard error in parentheses)
LOGY CPI IR LOGGDP LOGM1
1.000000 0.000000 3.469691 12.38810 -11.90310
(0.74331) (6.99811) (8.93986)
0.000000 1.000000 -8.324553 -32.38244 26.25185
(1.66324) (15.6590) (20.0039)
Adjustment coefficients (standard error in parentheses)
D(LOGY) -0.026969 -0.011702
(0.00569) (0.00252)
D(CPI) -0.238607 -0.105277
(0.05096) (0.02252)
D(IR) -0.000551 0.004040
(0.06181) (0.02732)
D(LOGGDP) -0.000114 -4.75E-05
(0.00025) (0.00011)
D(LOGM1) 0.002722 0.001397
(0.00116) (0.00051)
3 Cointegrating Equation(s): Log likelihood 2281.001
Normalized cointegrating coefficients (standard error in parentheses)
LOGY CPI IR LOGGDP LOGM1
1.000000 0.000000 0.000000 -1.322121 -0.631492
(0.44096) (0.49212)
0.000000 1.000000 0.000000 0.511392 -0.791203
(1.32853) (1.48264)
0.000000 0.000000 1.000000 3.951424 -3.248590
(1.94289) (2.16827)
Adjustment coefficients (standard error in parentheses)
D(LOGY) -0.040652 -0.010725 0.005274
(0.01318) (0.00265) (0.00213)
D(CPI) -0.070222 -0.117294 0.030852
(0.11765) (0.02366) (0.01903)
D(IR) 0.050163 0.000420 -0.040855
(0.14340) (0.02883) (0.02320)
D(LOGGDP) 0.001118 -0.000135 -0.000130
(0.00057) (0.00011) (9.2E-05)
D(LOGM1) 0.002714 0.001398 -0.002185
(0.00270) (0.00054) (0.00044)
4 Cointegrating Equation(s): Log likelihood 2286.107
Normalized cointegrating coefficients (standard error in parentheses)
LOGY CPI IR LOGGDP LOGM1
1.000000 0.000000 0.000000 0.000000 -1.810857
(0.40015)
0.000000 1.000000 0.000000 0.000000 -0.335029
(0.86679)
0.000000 0.000000 1.000000 0.000000 0.276179
(1.42596)
0.000000 0.000000 0.000000 1.000000 -0.892025
(0.20135)
Adjustment coefficients (standard error in parentheses)
D(LOGY) -0.040490 -0.010455 0.005572 0.046465
(0.01313) (0.00265) (0.00214) (0.02948)
D(CPI) -0.071994 -0.120240 0.027609 0.401622
(0.11701) (0.02359) (0.01903) (0.26270)
D(IR) 0.051851 0.003225 -0.037767 -0.462614
(0.14293) (0.02882) (0.02325) (0.32088)
D(LOGGDP) 0.001128 -0.000119 -0.000112 -0.003420
(0.00057) (0.00011) (9.2E-05) (0.00127)
D(LOGM1) 0.002684 0.001349 -0.002239 -0.007385
(0.00269) (0.00054) (0.00044) (0.00604)