我是自学的计量经济学,非常不全面,现在遇到麻烦了,请高手指点:
1、用EVIEWS建立VEC模型时,1-6个选项(有截距、有趋势那部分)如何选择?具体如何做?
2、出现结果后,
Cointegrating Eq: CointEq1
LNQI(-1) 1.000000
LNXIAN(-1) -1.001488
(0.01919)
[-52.1844]
C 0.010494
Error Correction: D(LNQI) D(LNXIAN)
CointEq1 -0.182895 -0.035256
(0.02001) (0.01890)
[-9.14004] [-1.86525]
D(LNQI(-1)) 0.009348 -0.005283
(0.03514) (0.03320)
[ 0.26601] [-0.15916]
D(LNQI(-2)) -0.056175 -0.009810
(0.03423) (0.03234)
[-1.64101] [-0.30338]
D(LNQI(-3)) 0.011221 0.032805
(0.03288) (0.03106)
[ 0.34127] [ 1.05619]
D(LNQI(-4)) 0.027061 -0.032318
(0.03288) (0.03106)
[ 0.82294] [-1.04046]
D(LNXIAN(-1)) -0.204253 0.028191
(0.04484) (0.04235)
[-4.55526] [ 0.66559]
D(LNXIAN(-2)) 0.087767 -0.118750
(0.04532) (0.04281)
[ 1.93673] [-2.77412]
D(LNXIAN(-3)) 0.033099 0.089270
(0.04404) (0.04160)
[ 0.75151] [ 2.14574]
D(LNXIAN(-4)) 0.062314 -0.033613
(0.04378) (0.04135)
[ 1.42342] [-0.81284]
C -0.000339 -0.000332
(0.00039) (0.00037)
[-0.87573] [-0.90868]
R-squared 0.211776 0.029545
Adj. R-squared 0.202098 0.017630
Sum sq. resids 0.080820 0.072113
S.E. equation 0.010500 0.009919
F-statistic 21.88214 2.479552
Log likelihood 2336.122 2378.467
Akaike AIC -6.261431 -6.375417
Schwarz SC -6.199376 -6.313362
Mean dependent -0.000333 -0.000316
S.D. dependent 0.011755 0.010007
Determinant resid covariance (dof adj.) 1.08E-08
Determinant resid covariance 1.06E-08
Log likelihood 4714.672
Akaike information criterion -12.63169
Schwarz criterion -12.49517
请问,这里面怎么没有DW值阿? D(LNXIAN(-1)) -0.204253 0.028191 (0.04484) (0.04235) [-4.55526] [ 0.66559]括号里是标准查,方括号里是T统计值吗,如何判断T统计量显著?
3、我上面的这个结果能否判断模型成立复合误差修正机制?
非常感谢高手解答!