大家帮忙看一下这个协整检验结果

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收藏 2017-03-05

怎么看要舍弃哪一个变量？
Date: 03/05/17 Time: 12:45
Sample (adjusted): 1987 2015
Included observations: 29 after adjustments
Trend assumption: Linear deterministic trend
Series: RATE LNGDP LNFDI LNUBR TRADE
Lags interval (in first differences): 1 to 2

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *          0.792118    117.8715    69.81889    0.0000
At most 1 *    0.705407    72.31872    47.85613    0.0001
At most 2 *    0.591337    36.87610    29.79707    0.0065
At most 3          0.211831    10.92504    15.49471    0.2161
At most 4 *    0.129496    4.021798    3.841466    0.0449

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 *             0.792118    45.55278    33.87687    0.0013
At most 1 *    0.705407    35.44263    27.58434    0.0040
At most 2 *    0.591337    25.95106    21.13162    0.0097
At most 3             0.211831    6.903239    14.26460    0.5007
At most 4 *    0.129496    4.021798    3.841466    0.0449

Max-eigenvalue 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 Cointegrating Coefficients (normalized by b'*S11*b=I):

RATE LNGDP LNFDI LNUBR TRADE
-10.50433    7.204990 -1.840330 -11.63707    0.172706
7.085887    6.749598 -2.510042 -18.20685 -0.272295
0.203532    11.46708 -4.940944 -39.10165    0.131336
9.709662    8.745313 -6.073818 -25.20292 -0.053821
-6.031391 -3.887995    1.610994    19.08573 -0.029214

Unrestricted Adjustment Coefficients (alpha):

D(RATE) -0.008850 -0.021453    0.039475 -0.008393    0.004085
D(LNGDP) -0.004994 -0.006586    0.002542    0.011572 -0.005804
D(LNFDI) -0.009078    0.032782    0.052298    0.061217    0.010440
D(LNUBR)    0.001650    0.010888    0.005554 -0.003432 -0.005686
D(TRADE) -2.861492    0.189145 -0.517799 -0.038767 -0.423623

1 Cointegrating Equation(s): Log likelihood    134.0793

Normalized cointegrating coefficients (standard error in parentheses)
RATE LNGDP LNFDI LNUBR TRADE
1.000000 -0.685907    0.175197    1.107836 -0.016441
   (0.20384)    (0.08980)    (0.59302)    (0.00309)

Adjustment coefficients (standard error in parentheses)
D(RATE)    0.092965
   (0.15642)
D(LNGDP)    0.052455
   (0.07940)
D(LNFDI)    0.095359
   (0.40042)
D(LNUBR) -0.017334
   (0.05844)
D(TRADE)    30.05806
   (5.12450)

2 Cointegrating Equation(s): Log likelihood    151.8006

Normalized cointegrating coefficients (standard error in parentheses)
RATE LNGDP LNFDI LNUBR TRADE
1.000000    0.000000 -0.046438 -0.431595 -0.025646
   (0.02144)    (0.12621)    (0.00279)
0.000000    1.000000 -0.323128 -2.244373 -0.013419
   (0.02846)    (0.16752)    (0.00370)

Adjustment coefficients (standard error in parentheses)
D(RATE) -0.059051 -0.208566
   (0.17679)    (0.13775)
D(LNGDP)    0.005785 -0.080435
   (0.09361)    (0.07294)
D(LNFDI)    0.327649    0.155859
   (0.47239)    (0.36806)
D(LNUBR)    0.059820    0.085383
   (0.06205)    (0.04835)
D(TRADE)    31.39832 -19.34037
   (6.15405)    (4.79499)

3 Cointegrating Equation(s): Log likelihood    164.7762

Normalized cointegrating coefficients (standard error in parentheses)
RATE LNGDP LNFDI LNUBR TRADE
1.000000    0.000000    0.000000    0.071262 -0.036645
   (0.18755)    (0.00365)
0.000000    1.000000    0.000000    1.254605 -0.089957
   (0.87762)    (0.01710)
0.000000    0.000000    1.000000    10.82846 -0.236865
   (2.35282)    (0.04584)

Adjustment coefficients (standard error in parentheses)
D(RATE) -0.051017    0.244101 -0.124910
   (0.12862)    (0.15357)    (0.05927)
D(LNGDP)    0.006303 -0.051290    0.013164
   (0.09329)    (0.11140)    (0.04299)
D(LNFDI)    0.338294    0.755565 -0.323980
   (0.44426)    (0.53047)    (0.20472)
D(LNUBR)    0.060951    0.149074 -0.057811
   (0.05966)    (0.07124)    (0.02749)
D(TRADE)    31.29293 -25.27801    7.349741
   (5.94553)    (7.09922)    (2.73972)

4 Cointegrating Equation(s): Log likelihood    168.2278

Normalized cointegrating coefficients (standard error in parentheses)
RATE LNGDP LNFDI LNUBR TRADE
1.000000    0.000000    0.000000    0.000000 -0.035782
   (0.00165)
0.000000    1.000000    0.000000    0.000000 -0.074765
   (0.00644)
0.000000    0.000000    1.000000    0.000000 -0.105746
   (0.01870)
0.000000    0.000000    0.000000    1.000000 -0.012109
   (0.00238)

Adjustment coefficients (standard error in parentheses)
D(RATE) -0.132513    0.170698 -0.073930 -0.838428
   (0.15874)    (0.17377)    (0.08378)    (0.51001)
D(LNGDP)    0.118662    0.049910 -0.057121 -0.212998
   (0.10866)    (0.11895)    (0.05735)    (0.34911)
D(LNFDI)    0.932686    1.290922 -0.695798 -4.078992
   (0.50700)    (0.55503)    (0.26758)    (1.62898)
D(LNUBR)    0.027624    0.119057 -0.036964 -0.348125
   (0.07398)    (0.08098)    (0.03904)    (0.23768)
D(TRADE)    30.91652 -25.61703    7.585202    51.07947
   (7.48859)    (8.19797)    (3.95224)    (24.0605)