长期均衡关系各项检验已通过为:

。
但建立短期非均衡关系模型时,结果如下:
Variable Coefficient Std. Error t-Statistic Prob.
DLNSER_FIRM -0.350001 0.103728 -3.374219 0.0433
DLNINFO_OPEN 0.492540 0.066446 7.412641 0.0051
DLNDEMAN_NUM 0.405141 0.073904 5.482016 0.0119
E(-1) -1.628099 0.445617 -3.653581 0.0354
C 0.026783 0.040338 0.663960 0.5542
R-squared 0.989456 Mean dependent var 0.096130
Adjusted R-squared 0.975398 S.D. dependent var 0.258074
S.E. of regression 0.040479 Akaike info criterion -3.306904
Sum squared resid 0.004916 Schwarz criterion -3.257253
Log likelihood 18.22762 Hannan-Quinn criter. -3.641780
F-statistic 70.38294 Durbin-Watson stat 2.652544
Prob(F-statistic) 0.002689
虽然各项变量系数显著性检验通过,但出现两个问题:1)误差修正项系数小于-1,为
-1.628099,与普通认为的【-1,0】不符合;
2)对此检查结果的残差进行拉格朗日检验,发现一阶自相关,检验结果如下:
这种情况怎么解决(由于原始样本仅9个,通过添加滞后项解决自相关性有一定困难)?十分紧急,谢谢!
原始变量数据如下,供参考:
LNREP_FDI LNDEMAN_NUM LNINFO_OPEN LNSER_FIRM
2005 4.430441 6.208992 1.669324 8.794825
2006 4.458879 6.675066 1.527200 9.056023
2007 4.753220 6.961106 1.836483 9.195227
2008 5.310980 7.940513 2.237065 9.262933
2009 5.034459 8.172334 1.780621 9.772353
2010 5.134576 8.409519 1.934072 10.19914
2011 5.185855 8.631949 2.106495 10.46764
2012 5.354523 8.828201 2.061672 10.56344
2013 5.199483 9.036558 1.770383 10.64954