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我有五个一阶单整的变量, 通过jj检验证明了有协整存在，我想要的是以emp为被解释变量，fem ,lgdp cpi 和ner为解释变量的关系，然后用vecm模型修正得到结果如下：Vector error-correction model
Sample: 1982 - 2012 No. of obs = 31
AIC = -14.79868
Log likelihood = 268.3795 HQIC = -14.2106
Det(Sigma_ml) = 2.08e-14 SBIC = -12.99463
Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
D_emp 7 .003163 0.8659 155.0333 0.0000
D_cpi 7 4.34979 0.4654 20.89054 0.0039
D_lgdp 7 .047562 0.9332 335.5215 0.0000
D_ner 7 .625777 0.1748 5.083149 0.6498
D_fem 7 .002139 0.2671 8.747369 0.2713
----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
D_emp |
_ce1 |
L1. | -.3015938 .0547464 -5.51 0.000 -.4088947 -.1942928
|
emp |
LD. | -.1565995 .1477013 -1.06 0.289 -.4460886 .1328897
|
cpi |
LD. | -.000447 .0001478 -3.02 0.002 -.0007368 -.0001573
|
lgdp |
LD. | -.0334928 .0156422 -2.14 0.032 -.0641511 -.0028346
|
ner |
LD. | .0034801 .0013684 2.54 0.011 .0007982 .0061621
|
fem |
LD. | -.6479658 .393901 -1.64 0.100 -1.419998 .124066
|
_cons | .0304708 .0055719 5.47 0.000 .0195501 .0413916
-------------+----------------------------------------------------------------
D_cpi |
_ce1 |
L1. | 69.91936 75.27826 0.93 0.353 -77.62331 217.462
|
emp |
LD. | -130.8897 203.0946 -0.64 0.519 -528.9478 267.1684
|
cpi |
LD. | .5846525 .2032896 2.88 0.004 .1862122 .9830928
|
lgdp |
LD. | -26.16393 21.50865 -1.22 0.224 -68.32012 15.99225
|
ner |
LD. | -2.206159 1.881576 -1.17 0.241 -5.893979 1.481661
|
fem |
LD. | 1704.283 541.6282 3.15 0.002 642.7114 2765.855
|
_cons | .1669771 7.661583 0.02 0.983 -14.84945 15.1834
-------------+----------------------------------------------------------------
D_lgdp |
_ce1 |
L1. | .5074578 .8231241 0.62 0.538 -1.105836 2.120751
|
emp |
LD. | -1.861717 2.220722 -0.84 0.402 -6.214251 2.490818
|
cpi |
LD. | .0010971 .0022229 0.49 0.622 -.0032596 .0054538
|
lgdp |
LD. | .5001148 .2351846 2.13 0.033 .0391614 .9610683
|
ner |
LD. | .0027766 .0205739 0.13 0.893 -.0375476 .0431008
|
fem |
LD. | 10.36521 5.92239 1.75 0.080 -1.242466 21.97288
|
_cons | .0505574 .083775 0.60 0.546 -.1136385 .2147533
-------------+----------------------------------------------------------------
D_ner |
_ce1 |
L1. | 10.7468 10.82981 0.99 0.321 -10.47923 31.97283
|
emp |
LD. | -4.119223 29.21794 -0.14 0.888 -61.38532 53.14688
|
cpi |
LD. | -.0078799 .029246 -0.27 0.788 -.065201 .0494412
|
lgdp |
LD. | 3.835161 3.094314 1.24 0.215 -2.229583 9.899904
|
ner |
LD. | -.131385 .2706904 -0.49 0.627 -.6619284 .3991584
|
fem |
LD. | -46.25448 77.92063 -0.59 0.553 -198.9761 106.4671
|
_cons | -1.08789 1.102223 -0.99 0.324 -3.248208 1.072429
-------------+----------------------------------------------------------------
D_fem |
_ce1 |
L1. | -.0339671 .0370241 -0.92 0.359 -.106533 .0385988
|
emp |
LD. | -.0210043 .099888 -0.21 0.833 -.216781 .1747725
|
cpi |
LD. | -.0002255 .0001 -2.26 0.024 -.0004214 -.0000295
|
lgdp |
LD. | .0023191 .0105786 0.22 0.826 -.0184146 .0230527
|
ner |
LD. | .0012953 .0009254 1.40 0.162 -.0005185 .003109
|
fem |
LD. | -.3126375 .2663888 -1.17 0.241 -.83475 .209475
|
_cons | .0019139 .0037682 0.51 0.612 -.0054717 .0092994
------------------------------------------------------------------------------
Cointegrating equations
Equation Parms chi2 P>chi2
-------------------------------------------
_ce1 4 853.0817 0.0000
-------------------------------------------
Identification: beta is exactly identified
Johansen normalization restriction imposed
------------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_ce1 |
emp | 1 . . . . .
cpi | -.0007376 .0004332 -1.70 0.089 -.0015867 .0001116
lgdp | -.057692 .0027469 -21.00 0.000 -.0630758 -.0523081
ner | .0133041 .0014695 9.05 0.000 .0104239 .0161843
fem | -.0104359 .7279891 -0.01 0.989 -1.437268 1.416396
_cons | .5227509 . . . . .
------------------------------------------------------------------------------
Impact parameters
Equation Parms chi2 P>chi2
-------------------------------------------
D_emp 1 30.34827 0.0000
D_cpi 1 .8626921 0.3530
D_lgdp 1 .380075 0.5376
D_ner 1 .9847293 0.3210
D_fem 1 .8416819 0.3589
-------------------------------------------
------------------------------------------------------------------------------
Pi | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
D_emp |
emp |
L1. | -.3015938 .0547464 -5.51 0.000 -.4088947 -.1942928
|
cpi |
L1. | .0002224 .0000404 5.51 0.000 .0001433 .0003016
|
lgdp |
L1. | .0173995 .0031584 5.51 0.000 .0112091 .0235899
|
ner |
L1. | -.0040124 .0007283 -5.51 0.000 -.00544 -.0025849
|
fem |
L1. | .0031474 .0005713 5.51 0.000 .0020276 .0042672
-------------+----------------------------------------------------------------
D_cpi |
emp |
L1. | 69.91936 75.27826 0.93 0.353 -77.62331 217.462
|
cpi |
L1. | -.0515709 .0555235 -0.93 0.353 -.160395 .0572532
|
lgdp |
L1. | -4.033786 4.342951 -0.93 0.353 -12.54581 4.478242
|
ner |
L1. | .9302124 1.001508 0.93 0.353 -1.032706 2.893131
|
fem |
L1. | -.7296724 .7855973 -0.93 0.353 -2.269415 .8100701
-------------+----------------------------------------------------------------
D_lgdp |
emp |
L1. | .5074578 .8231241 0.62 0.538 -1.105836 2.120751
|
cpi |
L1. | -.0003743 .0006071 -0.62 0.538 -.0015642 .0008156
|
lgdp |
L1. | -.0292762 .0474876 -0.62 0.538 -.1223503 .0637978
|
ner |
L1. | .0067513 .0109509 0.62 0.538 -.0147121 .0282146
|
fem |
L1. | -.0052958 .0085901 -0.62 0.538 -.022132 .0115404
-------------+----------------------------------------------------------------
D_ner |
emp |
L1. | 10.7468 10.82981 0.99 0.321 -10.47923 31.97283
|
cpi |
L1. | -.0079266 .0079878 -0.99 0.321 -.0235824 .0077292
|
lgdp |
L1. | -.620004 .6247929 -0.99 0.321 -1.844576 .6045675
|
ner |
L1. | .1429762 .1440806 0.99 0.321 -.1394165 .4253689
|
fem |
L1. | -.1121527 .1130189 -0.99 0.321 -.3336657 .1093604
-------------+----------------------------------------------------------------
D_fem |
emp |
L1. | -.0339671 .0370241 -0.92 0.359 -.106533 .0385988
|
cpi |
L1. | .0000251 .0000273 0.92 0.359 -.0000285 .0000786
|
lgdp |
L1. | .0019596 .002136 0.92 0.359 -.0022268 .0061461
|
ner |
L1. | -.0004519 .0004926 -0.92 0.359 -.0014173 .0005135
|
fem |
L1. | .0003545 .0003864 0.92 0.359 -.0004028 .0011118
------------------------------------------------------------------------------
同过beta的结果我是不是可以说长期的协整关系是emp-.057692lgdp-.0007376cpi+ .0133041ner-.0104359fem+ .5227509 =0这里的fem系数没通过t检验要不要drop掉？
还有我的误差修正模型如下Z=(emp,lgdp,cpi,ner,fem)' Zt=C+πZt-1+△Zt-1+Ut （t和t-1都是下标）
我可以从vecm结果里知道Zt-1里的各项系数，请问△Zt-1的各项系数在哪里看？ 还有这个方程是不是短期均衡关系方程？
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