Date: 01/02/10 Time: 14:39
Sample (adjusted): 1992 2007
Included observations: 16 after adjustments
Trend assumption: Linear deterministic trend
Series: IIX1 IIX2 IIX3 IIY
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 * 0.902776 66.57231 47.85613 0.0004
At most 1 0.746163 29.28047 29.79707 0.0573
At most 2 0.367576 7.343465 15.49471 0.5380
At most 3 0.000772 0.012349 3.841466 0.9113
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 * 0.902776 37.29184 27.58434 0.0021
At most 1 * 0.746163 21.93700 21.13162 0.0385
At most 2 0.367576 7.331116 14.26460 0.4507
At most 3 0.000772 0.012349 3.841466 0.9113
Max-eigenvalue test indicates 2 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):
IIX1 IIX2 IIX3 IIY
-0.000722 -0.001890 0.000655 0.000938
-0.000174 0.000984 0.000886 -0.000542
-0.000669 0.001016 -0.000294 0.000109
0.000218 0.001068 0.000104 -5.48E-05
Unrestricted Adjustment Coefficients (alpha):
D(IIX1) -350.7733 1003.163 92.97814 -38.32173
D(IIX2) 109.0037 -51.98543 -580.1515 -3.935660
D(IIX3) -739.8840 -1524.919 346.1027 0.723781
D(IIY) -2067.447 1121.633 -1153.228 -5.798584
1 Cointegrating Equation(s): Log likelihood -546.2657
Normalized cointegrating coefficients (standard error in parentheses)
IIX1 IIX2 IIX3 IIY
1.000000 2.617340 -0.906832 -1.298467
(0.35719) (0.15421) (0.12538)
Adjustment coefficients (standard error in parentheses)
D(IIX1) 0.253315
(0.41415)
D(IIX2) -0.078718
(0.22149)
D(IIX3) 0.534316
(0.42736)
D(IIY) 1.493031
(0.55036)
2 Cointegrating Equation(s): Log likelihood -535.2972
Normalized cointegrating coefficients (standard error in parentheses)
IIX1 IIX2 IIX3 IIY
1.000000 0.000000 -2.231649 0.097878
(0.37341) (0.17518)
0.000000 1.000000 0.506169 -0.533498
(0.13817) (0.06482)
Adjustment coefficients (standard error in parentheses)
D(IIX1) 0.078959 1.649767
(0.35487) (1.01799)
D(IIX2) -0.069683 -0.257168
(0.22748) (0.65257)
D(IIX3) 0.799356 -0.101492
(0.25478) (0.73089)
D(IIY) 1.298084 5.011058
(0.50103) (1.43729)
3 Cointegrating Equation(s): Log likelihood -531.6316
Normalized cointegrating coefficients (standard error in parentheses)
IIX1 IIX2 IIX3 IIY
1.000000 0.000000 0.000000 -0.597660
(0.18182)
0.000000 1.000000 0.000000 -0.375740
(0.04831)
0.000000 0.000000 1.000000 -0.311670
(0.10671)
Adjustment coefficients (standard error in parentheses)
D(IIX1) 0.016794 1.744240 0.631547
(0.47655) (1.12568) (0.54363)
D(IIX2) 0.318203 -0.846646 0.195718
(0.24507) (0.57889) (0.27957)
D(IIX3) 0.567954 0.250174 -1.936899
(0.32488) (0.76741) (0.37061)
D(IIY) 2.069126 3.839290 -0.021741
(0.56710) (1.33956) (0.64692)
这个的协整方程怎么写，谢谢
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