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)