Eviews Johansen协整结果求助！

churchill001

3657

收藏 2014-03-19

悬赏 1 个论坛币未解决

变量经过ADF检验，都是非平稳的时间序列，经过一阶差分后，都平稳，即都是一阶单整型I(1)型时间序列
做Johansen协整检验结果如下：因变量是LNCE,求问怎么写出协整方程，另外，怎么看各个变量是否显著？第二和第三张表结果怎么分析？

Unrestricted Cointegration Rank Test (Trace)


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


None *	0.232288	150.8401	125.6154	0.0006
At most 1 *	0.179611	106.1665	95.75366	0.0079
At most 2 *	0.157153	72.70847	69.81889	0.0289
At most 3	0.132248	43.81463	47.85613	0.1139
At most 4	0.054468	19.84215	29.79707	0.4336
At most 5	0.035356	10.37685	15.49471	0.2529
At most 6 *	0.025085	4.293462	3.841466	0.0382


Trace test indicates 3 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'S11b=I):


D1	D2	LNCE	LNCIPI	LNEIPI	LNREER	LNRV
-1.252902	3.757985	-13.70460	31.30083	13.67230	7.838089	1.089225
-0.110590	0.479221	-0.642839	27.68000	-10.25825	-1.134205	-2.107343
1.557105	1.084854	-10.13875	-70.16617	14.01018	18.28052	0.239588
-3.037427	3.138706	-2.424132	6.420800	-21.54031	7.201691	-0.172288
0.035072	-0.962588	1.517974	27.46998	-19.09675	2.942315	0.604276
2.797151	0.798923	-3.865484	1.224463	-8.257917	-3.675837	-0.019893
0.960809	1.784623	-2.573678	-12.21818	7.541558	5.207957	0.168769



Unrestricted Adjustment Coefficients (alpha):


D(D1)	0.015316	-0.002807	2.16E-05	-0.000295	-0.006347	-0.003421	-0.008936
D(D2)	-0.012582	-0.006549	-0.001304	-0.016122	0.008315	-0.006201	-0.002357
D(LNCE)	0.015119	0.008139	0.028503	-0.000359	0.006016	-0.001914	0.000519
D(LNCIPI)	-0.000623	-6.37E-05	0.000256	0.000193	-1.15E-05	0.000133	-0.000107
D(LNEIPI)	0.000941	0.000207	-0.001333	0.001546	0.001258	0.000213	-0.000455
D(LNREER)	0.000190	0.002456	-0.000476	-0.005644	0.000865	0.003878	-0.001193
D(LNRV)	-0.156028	0.440935	-0.031185	0.010798	-0.030496	-0.072392	-0.015042



1 Cointegrating Equation(s):		Log likelihood	2099.839


Normalized cointegrating coefficients (standard error in parentheses)
D1	D2	LNCE	LNCIPI	LNEIPI	LNREER	LNRV
1.000000	-2.999424	10.93828	-24.98266	-10.91250	-6.255946	-0.869361
	(0.63588)	(2.20119)	(9.66578)	(4.44757)	(2.73802)	(0.30416)

Adjustment coefficients (standard error in parentheses)
D(D1)	-0.019189
	(0.00757)
D(D2)	0.015764
	(0.00775)
D(LNCE)	-0.018943
	(0.00894)
D(LNCIPI)	0.000780
	(0.00018)
D(LNEIPI)	-0.001179
	(0.00090)
D(LNREER)	-0.000238
	(0.00295)
D(LNRV)	0.195487
	(0.12321)



2 Cointegrating Equation(s):		Log likelihood	2116.568


Normalized cointegrating coefficients (standard error in parentheses)
D1	D2	LNCE	LNCIPI	LNEIPI	LNREER	LNRV
1.000000	0.000000	22.46365	481.6600	-244.0325	-43.38520	-45.67302
		(31.5134)	(289.547)	(130.721)	(64.5246)	(8.99058)
0.000000	1.000000	3.842528	168.9133	-77.72161	-12.37879	-14.93742
		(10.4746)	(96.2413)	(43.4499)	(21.4471)	(2.98834)

Adjustment coefficients (standard error in parentheses)
D(D1)	-0.018878	0.056210
	(0.00759)	(0.02287)
D(D2)	0.016488	-0.050421
	(0.00775)	(0.02334)
D(LNCE)	-0.019843	0.060718
	(0.00893)	(0.02690)
D(LNCIPI)	0.000787	-0.002370
	(0.00018)	(0.00055)
D(LNEIPI)	-0.001202	0.003636
	(0.00090)	(0.00271)
D(LNREER)	-0.000509	0.001890
	(0.00295)	(0.00889)
D(LNRV)	0.146724	-0.375043
	(0.11440)	(0.34457)



3 Cointegrating Equation(s):		Log likelihood	2131.015


Normalized cointegrating coefficients (standard error in parentheses)
D1	D2	LNCE	LNCIPI	LNEIPI	LNREER	LNRV
1.000000	0.000000	0.000000	24.32155	-26.02539	1.858333	-5.763458
			(36.2134)	(14.4892)	(6.66981)	(1.07467)
0.000000	1.000000	0.000000	90.68315	-40.43032	-4.639647	-8.110678
			(51.6050)	(20.6475)	(9.50464)	(1.53143)
0.000000	0.000000	1.000000	20.35904	-9.704885	-2.014077	-1.776629
			(10.9738)	(4.39068)	(2.02116)	(0.32566)

Adjustment coefficients (standard error in parentheses)
D(D1)	-0.018845	0.056234	-0.208308
	(0.01208)	(0.02379)	(0.10299)
D(D2)	0.014458	-0.051836	0.189861
	(0.01233)	(0.02427)	(0.10506)
D(LNCE)	0.024539	0.091640	-0.501420
	(0.01336)	(0.02631)	(0.11389)
D(LNCIPI)	0.001186	-0.002092	0.005975
	(0.00029)	(0.00057)	(0.00246)
D(LNEIPI)	-0.003278	0.002190	0.000485
	(0.00141)	(0.00278)	(0.01204)
D(LNREER)	-0.001250	0.001374	0.000645
	(0.00470)	(0.00925)	(0.04004)
D(LNRV)	0.098166	-0.408874	2.171021
	(0.18198)	(0.35827)	(1.55096)



4 Cointegrating Equation(s):		Log likelihood	2143.001


Normalized cointegrating coefficients (standard error in parentheses)
D1	D2	LNCE	LNCIPI	LNEIPI	LNREER	LNRV
1.000000	0.000000	0.000000	0.000000	-25.58873	5.393494	-5.218600
				(12.4161)	(4.14253)	(0.97650)
0.000000	1.000000	0.000000	0.000000	-38.80223	8.541233	-6.079170
				(14.6033)	(4.87228)	(1.14852)
0.000000	0.000000	1.000000	0.000000	-9.339366	0.945129	-1.320540
				(3.05515)	(1.01933)	(0.24028)
0.000000	0.000000	0.000000	1.000000	-0.017954	-0.145351	-0.022402
				(0.09278)	(0.03095)	(0.00730)

Adjustment coefficients (standard error in parentheses)
D(D1)	-0.017950	0.055309	-0.207594	0.398287
	(0.02196)	(0.03041)	(0.10402)	(0.49453)
D(D2)	0.063429	-0.102439	0.228943	-0.587146
	(0.02184)	(0.03025)	(0.10347)	(0.49191)
D(LNCE)	0.025629	0.090514	-0.500550	-1.303717
	(0.02428)	(0.03363)	(0.11503)	(0.54687)
D(LNCIPI)	0.000601	-0.001488	0.005508	-0.038001
	(0.00052)	(0.00072)	(0.00247)	(0.01173)
D(LNEIPI)	-0.007974	0.007042	-0.003263	0.138657
	(0.00252)	(0.00350)	(0.01195)	(0.05683)
D(LNREER)	0.015893	-0.016341	0.014326	0.071066
	(0.00836)	(0.01158)	(0.03959)	(0.18822)
D(LNRV)	0.065368	-0.374983	2.144845	9.578762
	(0.33070)	(0.45800)	(1.56647)	(7.44717)



5 Cointegrating Equation(s):		Log likelihood	2147.734


Normalized cointegrating coefficients (standard error in parentheses)
D1	D2	LNCE	LNCIPI	LNEIPI	LNREER	LNRV
1.000000	0.000000	0.000000	0.000000	0.000000	-3.077471	-3.688465
					(2.87266)	(0.78104)
0.000000	1.000000	0.000000	0.000000	0.000000	-4.303964	-3.758904
					(3.42470)	(0.93113)
0.000000	0.000000	1.000000	0.000000	0.000000	-2.146601	-0.762071
					(0.75900)	(0.20636)
0.000000	0.000000	0.000000	1.000000	0.000000	-0.151294	-0.021329
					(0.02622)	(0.00713)
0.000000	0.000000	0.000000	0.000000	1.000000	-0.331043	0.059797
					(0.09109)	(0.02477)

Adjustment coefficients (standard error in parentheses)
D(D1)	-0.018173	0.061419	-0.217229	0.223924	0.366053
	(0.02187)	(0.03084)	(0.10401)	(0.51952)	(0.21822)
D(D2)	0.063720	-0.110444	0.241566	-0.358720	0.065376
	(0.02169)	(0.03059)	(0.10315)	(0.51525)	(0.21643)
D(LNCE)	0.025840	0.084723	-0.491418	-1.138463	0.415400
	(0.02421)	(0.03414)	(0.11514)	(0.57511)	(0.24157)
D(LNCIPI)	0.000601	-0.001477	0.005490	-0.038318	-0.008195
	(0.00052)	(0.00073)	(0.00248)	(0.01237)	(0.00520)
D(LNEIPI)	-0.007930	0.005832	-0.001354	0.173203	-0.065252
	(0.00249)	(0.00352)	(0.01186)	(0.05923)	(0.02488)
D(LNREER)	0.015923	-0.017174	0.015640	0.094840	0.075778
	(0.00835)	(0.01178)	(0.03972)	(0.19841)	(0.08334)
D(LNRV)	0.064298	-0.345628	2.098553	8.741046	-6.743609
	(0.33058)	(0.46610)	(1.57190)	(7.85156)	(3.29801)



6 Cointegrating Equation(s):		Log likelihood	2150.775


Normalized cointegrating coefficients (standard error in parentheses)
D1	D2	LNCE	LNCIPI	LNEIPI	LNREER	LNRV
1.000000	0.000000	0.000000	0.000000	0.000000	0.000000	-17.20860
						(3.67060)
0.000000	1.000000	0.000000	0.000000	0.000000	0.000000	-22.66735
						(4.93171)
0.000000	0.000000	1.000000	0.000000	0.000000	0.000000	-10.19266
						(2.22256)
0.000000	0.000000	0.000000	1.000000	0.000000	0.000000	-0.686005
						(0.14899)
0.000000	0.000000	0.000000	0.000000	1.000000	0.000000	-1.394561
						(0.31773)
0.000000	0.000000	0.000000	0.000000	0.000000	1.000000	-4.393264
						(0.96044)

Adjustment coefficients (standard error in parentheses)
D(D1)	-0.027743	0.058686	-0.204004	0.219735	0.394307	0.115403
	(0.02756)	(0.03118)	(0.10645)	(0.51897)	(0.22354)	(0.13033)
D(D2)	0.046374	-0.115398	0.265537	-0.366313	0.116586	-0.183872
	(0.02726)	(0.03083)	(0.10529)	(0.51329)	(0.22109)	(0.12891)
D(LNCE)	0.020487	0.083194	-0.484021	-1.140807	0.431202	0.652475
	(0.03054)	(0.03454)	(0.11794)	(0.57500)	(0.24767)	(0.14441)
D(LNCIPI)	0.000972	-0.001371	0.004977	-0.038155	-0.009291	0.000743
	(0.00066)	(0.00074)	(0.00253)	(0.01234)	(0.00531)	(0.00310)
D(LNEIPI)	-0.007334	0.006002	-0.002177	0.173464	-0.067011	-0.003177
	(0.00314)	(0.00356)	(0.01215)	(0.05921)	(0.02551)	(0.01487)
D(LNREER)	0.026771	-0.014075	0.000649	0.099589	0.043752	-0.062351
	(0.01043)	(0.01180)	(0.04028)	(0.19639)	(0.08459)	(0.04932)
D(LNRV)	-0.138192	-0.403463	2.378381	8.652405	-6.145806	-2.039010
	(0.41606)	(0.47064)	(1.60699)	(7.83441)	(3.37458)	(1.96755)