1、变量间的协整系数是FM_beta1 ；
2、上面的程序师针对Kao和Chiang（2000）的文章来写的，原文里给出了三个协整系数估计方法—OLS、FMOLS及DOLS，你上面的结果应该和他们的FMOLS对应；
3、你说的协整检验的结果是Pedroni（1999）文章中的七个协整检验统计量，而上面给出的是Kao（1997）及Pedroni（1995）的统计量，这两篇分别是Kao（1999）及Pedroni（1999）的working paper，你想看那七个统计量，你可以在论坛上找下 NPT 1.3 这个软件包，里面有更新的程序（建议用新的）及例子。

NPT 1.3
http://www.pinggu.org/bbs/b108i301181.html

--Panel Unit Root Tests of TFP---
   ----------- The Harris and Tzaralis (1999) Model 1a Unit Root Test -----------
   -----------  Without Intercept and Time Trend ---------------
nomalized ht_1_stat   -8.39447 :critical Probability=    0.00000
   -----------------------------------------------------------------------
---Panel Unit Root Tests of domestic R&D capital stocks---
   ----------- The Harris and Tzaralis (1999) Model 1a Unit Root Test -----------
   -----------  Without Intercept and Time Trend ---------------
nomalized ht_1_stat   -6.19029 :critical Probability=    0.00000
   -----------------------------------------------------------------------
---Panel Unit Root Tests of foreign R&D capital stocks---
   ----------- The Harris and Tzaralis (1999) Model 1a Unit Root Test -----------
   -----------  Without Intercept and Time Trend ---------------
nomalized ht_1_stat   -5.11868 :critical Probability=    0.00000
   -----------------------------------------------------------------------
The Conventional T test and OLS estimator
The beta1 is:  0.0972
The t-ratio1 is: 10.9801            probabiltiy(t)=  0.0000 probability(N)= 0.0000
The beta2 is:  0.0921
The t-ratio2 is:  6.0048            probabiltiy(t)=  0.0000 probability(N)= 0.0000
R square is:  0.5584
Adjusted Rsquare is:  0.5564
THE ADJUSTED T RATIO and VALUES
The adjusted beta1 is:  0.0836
The adjusted t-ratio1 is:  4.5711            probabiltiy(t)=  0.0000 probability(N)= 0.0000
The adjusted beta2 is:  0.1254
The adjusted t-ratio2 is:  4.0709            probabiltiy(t)=  0.0000 probability(N)= 0.0000
The bias of beta 1 is:  0.2707
The bias of beta 2 is: -0.6652
R square is:  0.5584
Adjusted Rsquare is:  0.5517
The Fully-Modified Estimators
The FM_beta1 is:  0.0842
The t-ratio1 is:  4.3715            probabiltiy(t)=  0.0000 probability(N)= 0.0000
The FM_beta2 is:  0.1033
The t-ratio2 is:  3.1842            probabiltiy(t)=  0.0008 probability(N)= 0.0007
R square is:  0.5560
Adjusted Rsquare is:  0.5540
The Dynamic OLS Estimators
The DOLS_beta1 is:  0.1069
The t-ratio1 is:  4.6721            probabiltiy(t)=  0.0000 probability(N)= 0.0000
The DOLS_beta2 is:  0.0558
The t-ratio2 is:  1.4503            probabiltiy(t)=  0.0740 probability(N)= 0.0735
R square is:  0.5114
Adjusted Rsquare is:  0.3054
====================  The Panel Cointegration Test(Homogeneous) ====================
           *******  Kao (1997) Panel Cointegration Test ********      
           *****************************************************      
DF_Rho Test= -0.1169  Prob:  0.4535
DF_t_Rho Test= -0.4204  Prob:  0.3371
DF_Rho_Star Test= -5.4501  Prob:  0.0000
DF_t_Rho_Star Test= -2.2489  Prob:  0.0123
=======================================================================
==================  The ADF Panel Cointegration Test(Homogeneous) ==================
           *******  Kao (1997) ADF Panel Cointegration Test ********   
           *********************************************************   
      lags     ADF test stat   prob:  AIC  SC   
1     -2.3661     0.0090   -9.2410     -9.2209
====================  The Panel Cointegration Test(Homogeneous) ====================
           *******  Pedroni (1995) Panel Cointegration Test ********      
           *****************************************************      
rho_NT_minus_1= -0.1864
t_rho_NT= -249.3833  Prob:  0.0000
TN1_rho= -12.3667  Prob:  0.0000
TN2_rho= -12.0535  Prob:  0.0000
=======================================================================

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