计量初学者麻烦各位帮帮忙,多谢!
我建立的VAR模型有三个变量X、Y、Z,经过Johansen协整检验,在5%显著性水平下拒绝NONE,无法拒绝AT MOST 1,说明有一个协整向量,然后建立VECM误差修正模型,出现的第二个表格有三列数据,那么到底是写一个方程还是三个方程呢?表是这样形式的:
Error Correction: D(X) D(Y) D(Z)
CointEq1 -0.034402 -0.008938 -0.012437
( 0.00876) (0.00707) (0.00744)
[-3.92896] [-1.26438] [-1.67133]
D(X(-1)) 0.053238 0.052488 0.032197
(0.04078) (0.03292) (0.03466)
[ 3.30552] [ 1.59421] [ 0.92903]
D(X(-2)) 0.022063 0.000475 -0.010875
(0.04082) (0.03296) (0.03469)
[ 0.54043] [ 0.01442] [-0.31345]
D(Y(-1)) 0.130989 -0.000663 -0.211598
(0.12465) (0.10064) (0.10593)
[ 2.05084] [-0.00659] [-1.99743]
D(Y(-2)) 0.022335 0.082605 0.090234
(0.12242) (0.09883) (0.10403)
[ 0.18245] [ 0.83580] [ 0.86735]
D(Z(-1)) -0.253666 -0.038030 0.240480
(0.11306) (0.09128) (0.09608)
[-2.24363] [-0.41663] [ 2.50280]
D(Z(-2)) -0.024173 -0.097932 -0.119048
(0.11261) (0.09092) (0.09570)
[-0.21465] [-1.07713] [-1.24392]
C 0.000771 0.000893 0.001150
(0.00101) (0.00081) (0.00085)
[ 0.76752] [ 1.09992] [ 1.34635]
是不是只写下面一个方程就行了?
DXt
= -0.034402ECMTt-1+0.053238DXt-1+0.130989DYt-1-0.253666DZt-1+0.000771
还是说要写出来DZt还有DYt