RT,三个变量做了协整检验,显示如下:
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.958643 59.34968 29.79707 0.0000
At most 1 * 0.851015 27.49466 15.49471 0.0005
At most 2 * 0.570682 8.455563 3.841466 0.0036
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
但往后看
1 Cointegrating Equation(s): Log likelihood 59.18681
Normalized cointegrating coefficients (standard error in parentheses)
Z X1 Y1
1.000000 0.444895 -1.816789
(0.27785) (0.25046)
Adjustment coefficients (standard error in parentheses)
D(Z) -0.764092
(0.47446)
D(X1) -0.045326
(0.19499)
D(Y1) 0.026498
(0.23969)
2 Cointegrating Equation(s): Log likelihood 68.70636
Normalized cointegrating coefficients (standard error in parentheses)
Z X1 Y1
1.000000 0.000000 -0.974674
(0.05378)
0.000000 1.000000 -1.892839
(0.13605)
Adjustment coefficients (standard error in parentheses)
D(Z) -2.057188 0.010920
(0.43354) (0.14666)
D(X1) 0.096264 -0.058584
(0.33145) (0.11212)
D(Y1) -0.528073 0.162262
(0.28889) (0.09772)
只有两个么?可以看第三个咩?另外,为啥我这个里面没有c呢?