请问这个误差修正模型的方程该怎么写,怎样判断各项显著性检验通过?
这个是三个变量的检验结果,请问方程怎么写。
Vector Error Correction Estimates
Date: 04/09/08 Time: 16:30
Sample (adjusted): 1996 2006
Included observations: 11 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
LGDP(-1) 1.000000
LRTZ(-1) -0.188382
(0.08976)
[-2.09866]
LRXF(-1) -0.426941
(0.03286)
[-12.9946]
C -4.547334
Error Correction: D(LGDP) D(LRTZ) D(LRXF)
CointEq1 -0.114395 0.378558 1.983060
(0.14226) (0.63866) (1.02453)
[-0.80414] [ 0.59274] [ 1.93558]
C 0.139246 0.101432 0.255570
(0.00831) (0.03733) (0.05988)
[ 16.7466] [ 2.71722] [ 4.26780]
R-squared 0.067033 0.037571 0.293922
Adj. R-squared -0.036631 -0.069366 0.215469
Sum sq. resids 0.006845 0.137955 0.355014
S.E. equation 0.027577 0.123808 0.198610
F-statistic 0.646639 0.351337 3.746468
Log likelihood 24.99373 8.474653 3.275885
Akaike AIC -4.180679 -1.177210 -0.231979
Schwarz SC -4.108334 -1.104865 -0.159635
Mean dependent 0.139246 0.101432 0.255570
S.D. dependent 0.027086 0.119725 0.224231
Determinant resid covariance (dof adj.) 1.39E-07
Determinant resid covariance 7.63E-08
Log likelihood 43.30977
Akaike information criterion -6.238141
Schwarz criterion -5.912590
[此贴子已经被作者于2008-4-9 17:28:34编辑过]