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请教高手,如何根据结果写出协整方程?和VEC模型呀?CointEq1 的系数是什么意思?ecm的系数和表达式是不是从以下结果中看不出来?多谢指导!!
Vector Error Correction Estimates Date: 03/12/10 Time: 19:54 Sample (adjusted): 1993 2007 Included observations: 15 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq:CointEq1 LNGDP(-1)1.000000 LNHYL(-1) -0.510026 (0.16250) [-3.13856] LNPZT(-1) -0.302756 (0.11243) [-2.69296] C0.057424 Error Correction: D(LNGDP) D(LNHYL) D(LNPZT) CointEq1 -0.221137 1.062191 1.250822 (0.17623) (0.63581) (0.90669) [-1.25482] [ 1.67062] [ 1.37954] D(LNGDP(-1)) -0.071866 3.342110 2.923624 (0.64339) (2.32124) (3.31022) [-0.11170] [ 1.43979] [ 0.88321] D(LNGDP(-2)) -0.247716 1.024220 2.281740 (0.33086) (1.19367) (1.70224) [-0.74871] [ 0.85804] [ 1.34043] D(LNHYL(-1)) 0.156558 -0.330025 0.010619 (0.20503) (0.73971) (1.05487) [ 0.76358] [-0.44615] [ 0.01007] D(LNHYL(-2)) 0.042580 -0.705371 -0.983071 (0.14803) (0.53407) (0.76162) [ 0.28764] [-1.32074] [-1.29076] D(LNPZT(-1)) -0.079592 0.787701 0.293551 (0.16586) (0.59839) (0.85334) [-0.47988] [ 1.31637] [ 0.34400] D(LNPZT(-2)) -0.027555 0.779695 0.700746 (0.16054) (0.57921) (0.82599) [-0.17163] [ 1.34613] [ 0.84837] C 0.171544 -0.602502 -0.636866 (0.12578) (0.45379) (0.64713) [ 1.36384] [-1.32771] [-0.98414] R-squared0.8008330.4742550.468706 Adj. R-squared0.601666 -0.051490 -0.062589 Sum sq. resids0.0112090.1459050.296718 S.E. equation0.0400170.1443730.205884 F-statistic4.0209100.9020630.882196 Log likelihood32.7087813.462288.138591 Akaike AIC -3.294504 -0.728304 -0.018479 Schwarz SC -2.916877 -0.3506770.359148 Mean dependent0.1341820.0939410.114230 S.D. dependent0.0634040.1407940.199729 Determinant resid covariance (dof adj.) 5.90E-08 Determinant resid covariance 6.00E-09 Log likelihood 78.13560 Akaike information criterion-6.818080 Schwarz criterion-5.543589 |
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