我是要确定变系数还是变截距那个的。结果如下,看不太懂,求达人指教
我的因变量ROE 自变量CR10 DEB REV
我点cointegration test后输入roe? cr10? deb? rev?得到下面结果,不过看不懂,谁能帮我~谢谢
Pedroni Residual Cointegration Test
Series: ROE? CR10? DEB? REV?
Date: 05/20/09 Time: 23:58
Sample: 1 850
Included observations: 850
Cross-sections included: 13
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
Lag selection: fixed at 1
Newey-West bandwidth selection with Bartlett kernel
Alternative hypothesis: common AR coefs. (within-dimension)
Weighted
Statistic Prob. Statistic Prob.
Panel v-Statistic -1.734245 0.9586 -2.703615 0.9966
Panel rho-Statistic 0.746604 0.7723 0.935271 0.8252
Panel PP-Statistic -49.49346 0.0000 -30.48497 0.0000
Panel ADF-Statistic -24.49186 0.0000 -15.96600 0.0000
Alternative hypothesis: individual AR coefs. (between-dimension)
Statistic Prob.
Group rho-Statistic 2.696932 0.9965
Group PP-Statistic -27.32610 0.0000
Group ADF-Statistic -15.31603 0.0000
Cross section specific results
Phillips-Peron results (non-parametric)
Cross ID AR(1) Variance HAC Bandwidth Obs
_CJ 0.022 1659.625 1192.335 6.00 34
_CB -0.117 13194.79 13143.32 1.00 10
_DL -0.126 818551.9 710523.2 4.00 60
_FD 0.073 50645.92 46651.08 3.00 64
_JZ -0.126 4652.180 6183.670 3.00 33
_JT -0.090 32412.64 21980.36 6.00 59
_NL -0.336 357713.0 218280.2 4.00 27
_PF -0.037 34382.02 32159.56 3.00 84
_SH 0.141 65127.50 65127.50 0.00 43
_XX -0.046 267920.6 267920.6 0.00 84
_ZZ 0.061 502422.0 584039.8 6.00 818
_JR 0.010 2102.276 764.6653 8.00 28
_ZH 0.040 7365.712 5712.223 15.00 56
Augmented Dickey-Fuller results (parametric)
Cross ID AR(1) Variance Lag Max lag Obs
_CJ -0.026 1300.739 1 -- 33
_CB -0.162 14209.97 1 -- 9
_DL -0.236 822556.0 1 -- 59
_FD 0.004 51879.33 1 -- 62
_JZ 0.133 4321.252 1 -- 32
_JT -0.235 32378.49 1 -- 58
_NL -0.565 352298.6 1 -- 25
_PF -0.077 34742.23 1 -- 83
_SH 0.134 66668.57 1 -- 42
_XX -0.230 262644.5 1 -- 83
_ZZ 0.187 448878.8 1 -- 814
_JR -0.189 2088.040 1 -- 27
_ZH -0.040 7445.877 1 -- 55