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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 EViews专版
3555 2
2016-08-13
最近在写毕业论文,三个变量都是一阶单整的(一个因变量,两个自变量),进行一阶差分后用jj检验,得到如下的结果,麻烦哪位大神帮忙看一下有没有协整关系,谢谢

Date: 08/13/16   Time: 23:07   
Sample (adjusted): 1990 2014   
Included observations: 25 after adjustments   
Trend assumption: Linear deterministic trend (restricted)   
Series: DRJXF DRJSR DCZSR     
Lags interval (in first differences): 1 to 1   
   
Unrestricted Cointegration Rank Test (Trace)   
   
Hypothesized  Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
   
None *  0.714304  45.22382  42.91525  0.0288
At most 1  0.346778  13.90311  25.87211  0.6656
At most 2  0.122156  3.257169  12.51798  0.8446
   
Trace test indicates 1 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 *  0.714304  31.32071  25.82321  0.0085
At most 1  0.346778  10.64594  19.38704  0.5502
At most 2  0.122156  3.257169  12.51798  0.8446
   
Max-eigenvalue test indicates 1 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):     
   
DRJXF DRJSR DCZSR @TREND(88)
0.009562 -0.008667  0.016689  0.088647
0.001700  0.001590 -0.029310  0.070462
0.004284 -0.000659  0.004611 -0.200987
   
   
Unrestricted Adjustment Coefficients (alpha):     
   
D(DRJXF) -63.22454 -90.36422 -64.67085
D(DRJSR)  141.7439 -17.33000 -113.9077
D(DCZSR) -8.045711  31.57775 -7.890114
   
   
1 Cointegrating Equation(s):   Log likelihood -470.9693
   
Normalized cointegrating coefficients (standard error in parentheses)   
DRJXF DRJSR DCZSR @TREND(88)
1.000000 -0.906365  1.745377  9.270813
  (0.06102)  (0.47358)  (3.63393)
   
Adjustment coefficients (standard error in parentheses)   
D(DRJXF) -0.604552   
  (0.52103)   
D(DRJSR)  1.355354   
  (0.72545)   
D(DCZSR) -0.076933   
  (0.12487)   
   
   
2 Cointegrating Equation(s):   Log likelihood -465.6463
   
Normalized cointegrating coefficients (standard error in parentheses)   
DRJXF DRJSR DCZSR @TREND(88)
1.000000  0.000000 -7.600936  25.11214
   (1.92156)  (19.9351)
0.000000  1.000000 -10.31186  17.47786
   (2.11961)  (21.9898)
   
Adjustment coefficients (standard error in parentheses)   
D(DRJXF) -0.758131  0.404305  
  (0.49147)  (0.44589)  
D(DRJSR)  1.325901 -1.255993  
  (0.73585)  (0.66761)  
D(DCZSR) -0.023265  0.119925  
  (0.10669)  (0.09680)  
   

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2016-8-15 09:05:16
关键看我涂成红色的几个地方,两种检验都表明只有1个协整关系:
Unrestricted Cointegration Rank Test (Trace)   
   
Hypothesized  Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
   
None *  0.714304  45.22382  42.91525  0.0288
At most 1  0.346778  13.90311  25.87211  0.6656
At most 2  0.122156  3.257169  12.51798  0.8446
   
Trace test indicates 1 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 *  0.714304  31.32071  25.82321  0.0085
At most 1  0.346778  10.64594  19.38704  0.5502
At most 2  0.122156  3.257169  12.51798  0.8446
   
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level    
* denotes rejection of the hypothesis at the 0.05 level   
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2017-5-7 19:22:38
谢谢指点
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