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[学习] 请高手指教：根据协整检验的结果如何写协整方程呀
指教, 检验, 结果, 方程, 高手
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相关词条：指教, 检验, 结果, 方程, 高手
我也想创建词条赚积分
我最近搞协整检验的结果如下
1 Cointegrating Equation(s): Log likelihood -2687.390
Normalized cointegrating coefficients (standard error in parentheses)
M0_SA M1_SA M2_SA SPJ_SA
1.000000 0.122117 -0.098080 -0.482382
(0.03763) (0.01213) (0.09550)
Adjustment coefficients (standard error in parentheses)
D(M0_SA) -0.571800
(0.34070)
D(M1_SA) -1.499869
(0.62007)
D(M2_SA) -3.898153
(1.23906)
D(SPJ_SA) 0.245653
(0.13854)
2 Cointegrating Equation(s): Log likelihood -2676.671
Normalized cointegrating coefficients (standard error in parentheses)
M0_SA M1_SA M2_SA SPJ_SA
1.000000 0.000000 -0.062449 -0.652487
(0.00351) (0.20488)
0.000000 1.000000 -0.291782 1.392972
(0.02734) (1.59526)
Adjustment coefficients (standard error in parentheses)
D(M0_SA) -0.546921 -0.047857
(0.33724) (0.04488)
D(M1_SA) -1.612020 -0.282193
(0.57409) (0.07641)
D(M2_SA) -3.877947 -0.458186
(1.24060) (0.16511)
D(SPJ_SA) 0.235887 0.021375
(0.13724) (0.01827)
3 Cointegrating Equation(s): Log likelihood -2669.957
Normalized cointegrating coefficients (standard error in parentheses)
M0_SA M1_SA M2_SA SPJ_SA
1.000000 0.000000 0.000000 1.226641
(1.10439)
0.000000 1.000000 0.000000 10.17293
(6.92562)
0.000000 0.000000 1.000000 30.09084
(19.9356)
Adjustment coefficients (standard error in parentheses)
D(M0_SA) -0.106594 -0.077788 0.034834
(0.42159) (0.04738) (0.03385)
D(M1_SA) -1.262405 -0.305959 0.172459
(0.73049) (0.08209) (0.05865)
D(M2_SA) -1.713769 -0.605297 0.310570
(1.52258) (0.17111) (0.12224)
D(SPJ_SA) 0.526784 0.001601 -0.029744
(0.16498) (0.01854) (0.01325)
自己看不懂什么是标准协整系数？什么是调整系数 ？为什么调整系数是两列或三列呢 ？根据这个结果怎么写协整方程呢？看了很多论文也没有搞懂 ，请高手点播？
我已经请教北大的一个牛人根据1写出来一个方程了 但是不能过多打扰别人 不知道根据2和3能不能写出来 还是欢迎其他高人指教
如果加入trend变成如下形式
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
M0_SA M1_SA M2_SA SPJ_SA @TREND(02M01)
-0.003316 -0.000355 0.000237 0.002000 0.211367
0.001018 -0.000362 0.000112 0.000169 -0.145040
-0.000365 -0.000596 0.000175 0.000664 0.138903
0.000925 -0.000275 7.51E-05 0.000811 -0.186018
Unrestricted Adjustment Coefficients (alpha):
D(M0_SA) 266.9717 -7.022214 9.750680 -131.8767
D(M1_SA) 430.8415 359.8127 133.3895 179.8475
D(M2_SA) 325.7153 1142.082 122.2155 -192.8735
D(SPJ_SA) -15.51166 8.796371 78.67553 -7.606925
1 Cointegrating Equation(s): Log likelihood -2898.865
Normalized cointegrating coefficients (standard error in parentheses)
M0_SA M1_SA M2_SA SPJ_SA @TREND(02M01)
1.000000 0.106946 -0.071536 -0.603092 -63.74998
(0.03127) (0.00978) (0.07515) (8.61237)
Adjustment coefficients (standard error in parentheses)
D(M0_SA) -0.885163
(0.20007)
D(M1_SA) -1.428484
(0.41915)
D(M2_SA) -1.079931
(0.89425)
D(SPJ_SA) 0.051430
(0.09200)
2 Cointegrating Equation(s): Log likelihood -2885.632
Normalized cointegrating coefficients (standard error in parentheses)
M0_SA M1_SA M2_SA SPJ_SA @TREND(02M01)
1.000000 0.000000 -0.029586 -0.425034 -81.97674
(0.00327) (0.05907) (12.0907)
0.000000 1.000000 -0.392252 -1.664929 170.4290
(0.02640) (0.47614) (97.4574)
Adjustment coefficients (standard error in parentheses)
D(M0_SA) -0.892309 -0.092126
(0.20926) (0.03055)
D(M1_SA) -1.062325 -0.282858
(0.41595) (0.06073)
D(M2_SA) 0.082295 -0.528404
(0.82542) (0.12052)
D(SPJ_SA) 0.060381 0.002320
(0.09618) (0.01404)
3 Cointegrating Equation(s): Log likelihood -2880.770
Normalized cointegrating coefficients (standard error in parentheses)
M0_SA M1_SA M2_SA SPJ_SA @TREND(02M01)
1.000000 0.000000 0.000000 -0.220241 -171.3347
(0.22658) (12.9061)
0.000000 1.000000 0.000000 1.050235 -1014.288
(2.36578) (134.755)
0.000000 0.000000 1.000000 6.921988 -3020.295
(6.64400) (378.444)
Adjustment coefficients (standard error in parentheses)
D(M0_SA) -0.895866 -0.097935 0.064241
(0.21038) (0.04717) (0.01901)
D(M1_SA) -1.110997 -0.362325 0.165695
(0.41504) (0.09305) (0.03750)
D(M2_SA) 0.037700 -0.601214 0.226193
(0.82862) (0.18578) (0.07487)
D(SPJ_SA) 0.031674 -0.044551 0.011054
(0.09178) (0.02058) (0.00829)
请指教@TREND(02M01)是什么意思
我来回答
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