[求助]协整检验输出结果的解释问题

aayangyu

6923

收藏 2008-10-21

以下是我做协整得出来的结果

结果显示本模型含有两个协整关系

有一点不明白的是这两个协整关系是哪两个呢？

1 Cointegrating Equation(s):   Log likelihood 213.6608

Normalized cointegrating coefficients (standard error in parentheses)
LOGGT LOGHB LOGXD LOGFIAM @TREND(82)
1.000000 -2.721297 -1.303617 -1.465564 0.167802
(0.64403) (0.22863) (0.18078) (0.03115)
上面这个是不是？请问大家， @TREND(82) 又是什么意思，谢谢

Date: 10/21/08   Time: 20:48
Sample (adjusted): 1984 2007
Included observations: 24 after adjustments
Trend assumption: Linear deterministic trend (restricted)
Series: LOGGT LOGHB LOGXD LOGFIAM
Lags interval (in first differences): 1 to 2

Unrestricted Cointegration Rank Test (Trace)

Hypothesized  Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.862403 99.45232 63.87610 0.0000
At most 1 * 0.760069 51.85007 42.91525 0.0051
At most 2 0.483407 17.59234 25.87211 0.3720
At most 3 0.069947 1.740328 12.51798 0.9823

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized  Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.862403 47.60225 32.11832 0.0003
At most 1 * 0.760069 34.25774 25.82321 0.0031
At most 2 0.483407 15.85201 19.38704 0.1517
At most 3 0.069947 1.740328 12.51798 0.9823

Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

LOGGT LOGHB LOGXD LOGFIAM @TREND(82)
11.50741 -31.31509 -15.00125 -16.86485 1.930969
-44.66076 42.70585 16.52111 10.32192 -1.774856
-34.65142 -7.468661 37.14123 -5.121334 0.457560
-7.690412 13.29570 -7.263557 1.286909 -0.200506


Unrestricted Adjustment Coefficients (alpha):

D(LOGGT) 0.008340 0.025226 -0.001835 -1.67E-05
D(LOGHB) 0.023658 -0.006424 -0.003894 -0.003170
D(LOGXD) 0.021665 -0.004496 -0.016876 0.000222
D(LOGFIAM) 0.025541 -0.020481 0.019493 0.012274


1 Cointegrating Equation(s):   Log likelihood 213.6608

Normalized cointegrating coefficients (standard error in parentheses)
LOGGT LOGHB LOGXD LOGFIAM @TREND(82)
1.000000 -2.721297 -1.303617 -1.465564 0.167802
(0.64403) (0.22863) (0.18078) (0.03115)

Adjustment coefficients (standard error in parentheses)
D(LOGGT) 0.095976
(0.08994)
D(LOGHB) 0.272242
(0.05490)
D(LOGXD) 0.249305
(0.08086)
D(LOGFIAM) 0.293909
(0.18442)


2 Cointegrating Equation(s):   Log likelihood 230.7897

Normalized cointegrating coefficients (standard error in parentheses)
LOGGT LOGHB LOGXD LOGFIAM @TREND(82)
1.000000 0.000000 0.135904 0.437643 -0.029636
   (0.15471) (0.13407) (0.00468)
0.000000 1.000000 0.528983 0.699375 -0.072553
   (0.11979) (0.10381) (0.00362)

Adjustment coefficients (standard error in parentheses)
D(LOGGT) -1.030631 0.816114
(0.18238) (0.20942)
D(LOGHB) 0.559150 -1.015201
(0.20529) (0.23572)
D(LOGXD) 0.450095 -0.870434
(0.31931) (0.36665)
D(LOGFIAM) 1.208603 -1.674469
(0.69467) (0.79766)


3 Cointegrating Equation(s):   Log likelihood 238.7157

Normalized cointegrating coefficients (standard error in parentheses)
LOGGT LOGHB LOGXD LOGFIAM @TREND(82)
1.000000 0.000000 0.000000 0.392342 -0.026339
    (0.11906) (0.00266)
0.000000 1.000000 0.000000 0.523048 -0.059719
    (0.07888) (0.00176)
0.000000 0.000000 1.000000 0.333332 -0.024263
    (0.16171) (0.00362)

Adjustment coefficients (standard error in parentheses)
D(LOGGT) -0.967036 0.829821 0.223479
(0.22637) (0.20986) (0.17003)
D(LOGHB) 0.694094 -0.986116 -0.605673
(0.24966) (0.23146) (0.18752)
D(LOGXD) 1.034856 -0.744397 -1.026053
(0.30302) (0.28093) (0.22761)
D(LOGFIAM) 0.533159 -1.820052 0.002465
(0.81527) (0.75583) (0.61237)