悬赏500,根据下面的回归信息,写出协整方程.

nlm0402

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收藏 2009-10-21

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Date: 10/21/09 Time: 19:30
Sample (adjusted): 1995 2007
Included observations: 13 after adjustments
Trend assumption: Quadratic deterministic trend
Series: LNNONGMINLYSHOURU LNLINYEWAIZI LNLINCHANPINCHUKOU
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 *  0.849489  54.21799  35.01090  0.0002
At most 1 *  0.799034  29.59967  18.39771  0.0009
At most 2 *  0.489456  8.739625  3.841466  0.0031

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 *  0.849489  24.61831  24.25202  0.0447
At most 1 *  0.799034  20.86005  17.14769  0.0138
At most 2 *  0.489456  8.739625  3.841466  0.0031

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):

LNNONGMINLYSHOURU LNLINYEWAIZI LNLINCHANPINCHUKOU
14.84506 -1.445529 -10.71779
-10.26764  4.837272  2.664875
9.423192  1.315521  1.006017

Unrestricted Adjustment Coefficients (alpha):

D(LNNONGMINLYSHOURU) -0.061672 -0.006438 -0.030986
D(LNLINYEWAIZI) -0.165332 -0.291202 -0.030977
D(LNLINCHANPINCHUKOU)  0.007506 -0.033474 -0.045631

最佳答案

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19721016

2009-10-21 19:38:01

答案：
一  分析显示协整个数为3（理由：数星号，星号为多少个就是多少个，你给出的迹检验与最大特征根检验均为3个星号，所以为3，有时两种检验星号个数不相等，那你最得进行选择，选择何种结论均对，不过你得做出说明是那一种检验的结论）
二  协整方程：据此写不出来你必须按下述步骤进行如下操做
第一步：点ctrl键选中你所有分析的变量然后是 open as  VAR  之后在出现的对话框中 VAR 类型中选择 VEC，继续
      第二步：点COINTEGRATION 然后在出现的对话框中填写协整个数，你的填写3 点确定继续
第三步：在出现结果中不管它，当然懂最好，我们只要点view  representation  出现结果了，继续
第四步：出现结果中第一块 VAR Model: 是系数形式给出的结果，你不去管它，考察第二块 VAR Model - Substituted Coefficients 将依次给出VEC方程比如我的例子是带2个协整的其中一个方程如下：
D(LS) =  - 0.064429501256*( LS(-1) + 6212.67875773*NJJ(-1) - 20310.7830445*NK(-1) - 102165.385278 ) - 18.6544588722*( NJ(-1) - 26.1479649198*NJJ(-1) + 60.7441318815*NK(-1) + 224.298919292 ) - 0.228932930417*D(LS(-1)) - 0.525640319648*D(LS(-2)) - 3.41745416063*D(NJ(-1)) - 12.7236762063*D(NJ(-2)) + 60.3267762756*D(NJJ(-1)) + 61.6747301662*D(NJJ(-2)) + 333.515820797*D(NK(-1)) + 162.79537076*D(NK(-2)) + 1034.61407854
上方程中带红色部分就是长期方程，其前方的系数分别是调整系数，整个方程就是带差分的VEC模型中的一个方程，每个内生变量的方程均如此。
完成解答