1. 单位根检验结果租金和出租率是I(0),GDP和累计供应是I(1),它们可以进行协整检验吗?
2. 我尝试做了一下协整检验,结果如下。发现协整方程中出租率的系数是负数,这和经验不符,出租率越高租金就越贵啊,是不是我漏了什么步骤,亦或是我该把该变量去除?协整方程是不是等同于回归方程?
3. 看过国外的一篇论文,也是研究类似课题,但是没有具体分析过程,只提到autoregressive moving average model,这个和协整方程怎么结合?
烦请各位指教,谢谢了!
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.271801 53.54809 47.85613 0.0133
At most 1 * 0.245318 34.20003 29.79707 0.0146
At most 2 * 0.243284 17.03102 15.49471 0.0291
At most 3 0.000430 0.026243 3.841466 0.8712
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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.271801 19.34807 27.58434 0.3881
At most 1 0.245318 17.16900 21.13162 0.1642
At most 2 * 0.243284 17.00478 14.26460 0.0180
At most 3 0.000430 0.026243 3.841466 0.8712
Max-eigenvalue test indicates no cointegration 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):