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###Model TVECM
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Full sample size: 5617 End sample size: 5611
Number of variables: 2 Number of estimated parameters 48
AIC -154235.6 BIC -153910.7 SSR 0.02365357
Cointegrating vector: (1, - 0.9994229 )
$Bdown
ECT Const st t -1
Equation st -0.0236(0.7789) -6e-07(0.9988) -0.1096(0.3408)
Equation ft 0.0541(0.5423) 0.0002(0.5961) 0.0362(0.7663)
ft t -1 st t -2 ft t -2
Equation st 0.3228(0.0022)**0.1881(0.1009) -0.2650(0.0182)*
Equation ft 0.0057(0.9590) 0.1734(0.1523) -0.2911(0.0141)*
st t -3 ft t -3 st t -4
Equation st -0.0671(0.5464) 0.1186(0.2769) -0.1728(0.1237)
Equation ft 0.0452(0.7008) 0.0329(0.7755) -0.0033(0.9779)
ft t -4 st t -5 ft t -5
Equation st 0.2703(0.0154)*-0.1060(0.3253) -0.0194(0.8559)
Equation ft 0.1054(0.3710) -0.0952(0.4032) -0.0329(0.7704)
$Bup 这是大于门限值的方程吗?
ECT Const st t -1
Equation st -0.0154(0.0321)*-1.4e-05(0.5503) -0.2972(4.8e-27)***
Equation ft 0.0010(0.8932) -4.0e-05(0.1073) -0.0232(0.4237)
ft t -1 st t -2 ft t -2
Equation st 0.3854(8.1e-48)***-0.1544(5.2e-08)*** 0.1754(5.1e-10)***
Equation ft -0.0070(0.8019) -0.0257(0.3914) 0.0380(0.2024)
st t -3 ft t -3 st t -4
Equation st -0.1079(0.0001)***0.0943(0.0009)*** -0.1195(2.3e-05)***
Equation ft -0.0134(0.6553) 0.0084(0.7790) -0.0406(0.1730)
ft t -4 st t -5 ft t -5
Equation st 0.1155(3.9e-05)***-0.0237(0.3557) 0.0678(0.0094)**
Equation ft 0.0445(0.1334) 0.0241(0.3742) 0.0065(0.8139)
Threshold
Values: -0.003465
Percentage of Observations in each regime5.1% 94.9%