Error Correction: | D(LSHP) | D(LIP) | D(LM1) | D(LRATE) | D(LCPI) |
| | | | | |
| | | | | |
CointEq1 | 0.019479 | 0.062496 | 0.018722 | -0.016097 | -0.000159 |
| (0.00866) | (0.00967) | (0.00211) | (0.01500) | (0.00081) |
| [ 2.24883] | [ 6.46049] | [ 8.85805] | [-1.07343] | [-0.19511] |
| | | | | |
D(LSHP(-1)) | 0.121249 | -0.153890 | -0.075851 | -0.119262 | 0.006770 |
| (0.10185) | (0.11374) | (0.02485) | (0.17632) | (0.00956) |
| [ 1.19052] | [-1.35296] | [-3.05217] | [-0.67640] | [ 0.70800] |
| | | | | |
D(LSHP(-2)) | -0.003993 | -0.192238 | -0.051079 | 0.142676 | -0.002619 |
| (0.10226) | (0.11421) | (0.02495) | (0.17704) | (0.00960) |
| [-0.03905] | [-1.68320] | [-2.04697] | [ 0.80589] | [-0.27273] |
| | | | | |
D(LIP(-1)) | -0.000686 | -0.425242 | -0.019559 | 0.107733 | 0.016256 |
| (0.09604) | (0.10726) | (0.02343) | (0.16627) | (0.00902) |
| [-0.00714] | [-3.96459] | [-0.83462] | [ 0.64794] | [ 1.80265] |
| | | | | |
D(LIP(-2)) | -0.073672 | -0.308617 | -0.006865 | -0.108226 | 0.003606 |
| (0.07005) | (0.07823) | (0.01709) | (0.12127) | (0.00658) |
| [-1.05174] | [-3.94497] | [-0.40165] | [-0.89245] | [ 0.54821] |
| | | | | |
D(LM1(-1)) | -0.402137 | -2.813611 | -0.419313 | 0.829510 | 0.012673 |
| (0.39118) | (0.43687) | (0.09545) | (0.67722) | (0.03673) |
| [-1.02802] | [-6.44034] | [-4.39296] | [ 1.22488] | [ 0.34505] |
| | | | | |
D(LM1(-2)) | -0.327924 | -1.856181 | -0.298955 | 0.363395 | 0.074287 |
| (0.44483) | (0.49679) | (0.10854) | (0.77010) | (0.04177) |
| [-0.73719] | [-3.73633] | [-2.75426] | [ 0.47188] | [ 1.77861] |
| | | | | |
D(LRATE(-1)) | 0.090433 | 0.100003 | 0.005215 | -0.341040 | 0.001284 |
| (0.05716) | (0.06384) | (0.01395) | (0.09896) | (0.00537) |
| [ 1.58205] | [ 1.56646] | [ 0.37387] | [-3.44619] | [ 0.23921] |
| | | | | |
D(LRATE(-2)) | -0.084016 | 0.071579 | 0.004239 | -0.060647 | -0.001339 |
| (0.05856) | (0.06540) | (0.01429) | (0.10138) | (0.00550) |
| [-1.43470] | [ 1.09447] | [ 0.29666] | [-0.59821] | [-0.24349] |
| | | | | |
D(LCPI(-1)) | 2.116856 | 2.313109 | 0.308890 | 0.870401 | 0.085460 |
| (1.00850) | (1.12632) | (0.24609) | (1.74596) | (0.09469) |
| [ 2.09900] | [ 2.05369] | [ 1.25521] | [ 0.49852] | [ 0.90249] |
| | | | | |
D(LCPI(-2)) | 0.130521 | -0.571273 | 0.541021 | 1.619163 | -0.102378 |
| (1.05299) | (1.17600) | (0.25694) | (1.82297) | (0.09887) |
| [ 0.12395] | [-0.48578] | [ 2.10563] | [ 0.88820] | [-1.03548] |
R2(怎么这么低呢?) | 0.163835 | 0.483890 | 0.314361 | 0.159398 | 0.095566 |
Adj. R-squared | 0.084951 | 0.435200 | 0.249679 | 0.080096 | 0.010242 |
F-statistic | 2.076919 | 9.938238 | 4.860040 | 2.010010 | 1.120042 |
Log likelihood | 149.4813 | 136.5545 | 314.5148 | 85.26738 | 426.2548 |
Akaike AIC | -2.367201 | -2.146230 | -5.188286 | -1.269528 | -7.098373 |
Schwarz SC | -2.107510 | -1.886539 | -4.928595 | -1.009836 | -6.838682 |
Log likelihood | 1128.330 | 我的问题是:假设我选择了VAR(3)那么建立vecm中滞后区间:1 2;也假设滞后2阶能使AIC是最小的;得到了如上的结果;问题:但是上面的方程有好多个,应该怎么写出最后的vec模型? | |||
Akaike information criterion | -18.24495 | ||||
Schwarz criterion | -16.80484 | ||||
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