Eviews做了JJ检验之后检验出有2个协整关系，下一步应该怎么做呢？JJ检验的结果怎么看

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收藏 2020-04-14

Sample (adjusted): 1990 2018
Included observations: 29 after adjustments
Trend assumption: Linear deterministic trend (restricted)
Series: LNY LNX1 X2 LNX3 LNX4
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 *    0.913743    139.5133    88.80380    0.0000
At most 1 *    0.692302    68.45120    63.87610    0.0196
At most 2    0.416552    34.27070    42.91525    0.2762
At most 3    0.338674    18.64553    25.87211    0.3022
At most 4    0.205022    6.653771    12.51798    0.3820

Trace 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 Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized       Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *    0.913743    71.06215    38.33101    0.0000
At most 1 *    0.692302    34.18050    32.11832    0.0276
At most 2    0.416552    15.62518    25.82321    0.5782
At most 3    0.338674    11.99175    19.38704    0.4160
At most 4    0.205022    6.653771    12.51798    0.3820

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):

LNY LNX1 X2 LNX3 LNX4 @TREND(89)
1.375245    17.74403    0.168570    4.571418 -79.17292    0.550433
-1.991931 -7.032107 -0.144084 -1.874869    14.31760 -0.076872
2.733998    14.09102    0.101143 -1.483782 -5.823490    0.212251
-0.533147 -2.101419    0.046581 -4.799820    9.711455    0.477467
-1.573072    4.804472    0.034640    0.781720    34.81824 -0.146950


Unrestricted Adjustment Coefficients (alpha):

D(LNY)    0.345160    0.081632 -0.196883    0.031462    0.014930
D(LNX1) -0.024787 -0.037750 -0.021728    0.021738    0.007331
D(X2) -0.404998    4.908435    1.812574 -1.601781 -1.372363
D(LNX3)    0.011655    0.005056    0.051981    0.047290    0.013666
D(LNX4)    0.009422 -0.002700    0.000941    0.005286 -0.001818


1 Cointegrating Equation(s):       Log likelihood    90.39088

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNX1 X2 LNX3 LNX4 @TREND(89)
1.000000    12.90245    0.122575    3.324076 -57.57007    0.400244
   (0.80015)    (0.00839)    (0.33984)    (3.39132)    (0.03775)

Adjustment coefficients (standard error in parentheses)
D(LNY)    0.474680
   (0.10069)
D(LNX1) -0.034088
   (0.02054)
D(X2) -0.556971
   (2.26100)
D(LNX3)    0.016028
   (0.03475)
D(LNX4)    0.012958
   (0.00321)


2 Cointegrating Equation(s):       Log likelihood    107.4811

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNX1 X2 LNX3 LNX4 @TREND(89)
1.000000    0.000000    0.053409    0.043664    11.79015 -0.097635
      (0.01065)    (0.63711)    (6.42028)    (0.07210)
0.000000    1.000000    0.005361    0.254247 -5.375739    0.038588
      (0.00098)    (0.05840)    (0.58854)    (0.00661)

Adjustment coefficients (standard error in parentheses)
D(LNY)    0.312075    5.550489
   (0.17215)    (1.35743)
D(LNX1)    0.041108 -0.174351
   (0.03045)    (0.24013)
D(X2) -10.33424 -41.70294
   (3.06929)    (24.2021)
D(LNX3)    0.005957    0.171246
   (0.06112)    (0.48192)
D(LNX4)    0.018337    0.186180
   (0.00547)    (0.04314)


3 Cointegrating Equation(s):       Log likelihood    115.2937

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNX1 X2 LNX3 LNX4 @TREND(89)
1.000000    0.000000    0.000000 -2.256439    28.50809 -0.126269
         (0.75253)    (7.59375)    (0.07975)
0.000000    1.000000    0.000000    0.023387 -3.697767    0.035714
         (0.12087)    (1.21970)    (0.01281)
0.000000    0.000000    1.000000    43.06566 -313.0161    0.536125
         (15.8513)    (159.954)    (1.67993)

Adjustment coefficients (standard error in parentheses)
D(LNY) -0.226204    2.776200    0.026509
   (0.20964)    (1.36205)    (0.01399)
D(LNX1) -0.018296 -0.480519 -0.000937
   (0.04271)    (0.27750)    (0.00285)
D(X2) -5.378663 -16.16192 -0.592170
   (4.40995)    (28.6520)    (0.29435)
D(LNX3)    0.148072    0.903708    0.006494
   (0.08284)    (0.53823)    (0.00553)
D(LNX4)    0.020911    0.199444    0.002073
   (0.00822)    (0.05341)    (0.00055)


4 Cointegrating Equation(s):       Log likelihood    121.2896

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNX1 X2 LNX3 LNX4 @TREND(89)
1.000000    0.000000    0.000000    0.000000    19.51591 -0.256735
               (6.66565)    (0.06530)
0.000000    1.000000    0.000000    0.000000 -3.604567    0.037066
               (1.10840)    (0.01086)
0.000000    0.000000    1.000000    0.000000 -141.3942    3.026141
               (122.885)    (1.20390)
0.000000    0.000000    0.000000    1.000000 -3.985121 -0.057819
               (2.55140)    (0.02500)

Adjustment coefficients (standard error in parentheses)
D(LNY) -0.242978    2.710085    0.027974    1.565943
   (0.21041)    (1.35802)    (0.01415)    (0.40177)
D(LNX1) -0.029885 -0.526199    7.59E-05 -0.114631
   (0.03963)    (0.25579)    (0.00266)    (0.07568)
D(X2) -4.524677 -12.79591 -0.666782 -6.055292
   (4.27481)    (27.5902)    (0.28745)    (8.16265)
D(LNX3)    0.122860    0.804331    0.008696 -0.260314
   (0.07500)    (0.48405)    (0.00504)    (0.14321)
D(LNX4)    0.018092    0.188336    0.002319    0.021367
   (0.00719)    (0.04642)    (0.00048)    (0.01373)


Cointegrating Equation(s)指的是什么？Adjustment coefficients下面的差分都是啥意思？

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