悬赏 501 个论坛币 已解决
johansen协整检验的结果,下面的部分应该怎样解释?
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
LNEX LNFDIF LNIM
1.548050 0.011745 -1.802168
3.331035 -3.705361 0.962127
-0.675197 -0.528693 0.578665
Unrestricted Adjustment Coefficients (alpha):
D(LNEX) 0.002421 0.076448 0.013545
D(LNFDIF) 0.459143 0.217312 -0.037986
D(LNIM) 0.361296 0.044383 0.017931
1 Cointegrating Equation(s): Log likelihood 21.71623
Normalized cointegrating coefficients (standard error in parentheses)
LNEX LNFDIF LNIM
1.000000 0.007587 -1.164154
(0.08023) (0.08807)
Adjustment coefficients (standard error in parentheses)
D(LNEX) 0.003749
(0.04804)
D(LNFDIF) 0.710777
(0.14325)
D(LNIM) 0.559304
(0.05852)
答案正确完整,再追加500!
谢谢!