ywh19860616 发表于 2012-6-14 13:20
谢谢epoh老师提供的信息
恩,这个也基本能实现,只是有许多
检验统计量未给出。
我先跑1,
跑完之后再跑2,就OK了.
跑2之后的结果如下供你参考:
PMG_result.txt
(49.82 KB)
PAGE 28
OLS VERSION
Group-Specific Estimates of the Long-run Coefficients
Based on ARDL Specifications With Pre-Specified Lags
******** ************************** **************************
Group Estimates Diagnostic Statistics
******** ************************** **************************
Dependent variable: Y
Phi lndi dp SIGMA Ch-SC CH-FF CH-NO CH-HE RBARSQ LL
Australi -0.175 1.032 -0.725 0.007 0.57 1.00 0.10 0.97 0.71 116.77
(0.059)(0.053)(0.225)
Austria -0.356 0.924 -0.321 0.012 2.35 1.98 6.23 0.02 0.59 99.76
(0.127)(0.024)(0.443)
Belgium -0.240 0.988 -0.777 0.010 3.48 0.02 0.92 2.84 0.72 103.39
(0.055)(0.031)(0.327)
Canada -0.333 0.987 -1.247 0.008 0.77 2.71 0.60 1.82 0.89 112.33
(0.072)(0.021)(0.186)
Denmark -0.143 0.865 0.423 0.015 0.53 0.19 2.30 0.95 0.73 93.23
(0.114)(0.128)(0.971)
Finland -0.397 0.901 -0.437 0.010 0.06 0.25 1.13 0.53 0.91 104.79
(0.062)(0.017)(0.131)
France -0.070 0.871 0.383 0.005 0.20 0.53 0.50 0.00 0.87 125.45
(0.046)(0.166)(0.651)
Germany -0.163 0.998 1.458 0.012 3.35 12.47 0.44 2.34 0.92 99.36
(0.117)(0.072)(1.530)
Greece -0.201 0.931 -0.545 0.011 2.80 0.01 1.66 0.48 0.71 101.50
(0.064)(0.051)(0.455)
Iceland -0.291 1.004 -0.017 0.024 0.27 0.09 1.23 0.33 0.88 77.81
(0.112)(0.054)(0.137)
Ireland -0.593 0.864 -0.254 0.020 0.62 0.00 0.09 1.50 0.61 83.69
(0.162)(0.026)(0.133)
Italy -0.433 1.072 -0.006 0.011 0.19 0.08 0.36 0.00 0.81 103.44
(0.128)(0.018)(0.092)
Japan -0.209 0.855 -0.892 0.007 0.06 0.00 0.74 0.00 0.93 114.98
(0.053)(0.039)(0.228)
Luxembou -0.177 0.645 -0.694 0.014 1.87 0.01 0.20 1.96 0.20 95.18
(0.084)(0.041)(0.710)
Netherla -0.401 0.961 -0.683 0.011 12.09 0.01 2.84 0.07 0.80 100.87
(0.095)(0.034)(0.198)
NewZeala -0.478 0.913 -0.584 0.014 3.55 1.99 1.48 1.54 0.74 93.42
(0.101)(0.070)(0.148)
Norway -0.542 0.864 -0.513 0.020 6.00 0.01 5.59 0.01 0.48 83.03
(0.108)(0.031)(0.307)
Portugal -0.413 0.949 -0.341 0.031 0.14 9.03 4.15 12.33 0.68 69.38
(0.106)(0.050)(0.343)
Spain -0.339 0.892 -0.040 0.009 0.64 0.00 1.23 1.60 0.90 106.94
(0.098)(0.022)(0.147)
Sweden -0.340 0.917 -0.835 0.011 0.15 0.05 0.66 1.53 0.74 101.45
(0.107)(0.051)(0.283)
Switzerl -0.093 0.617 -0.496 0.008 1.13 0.10 2.63 0.00 0.78 113.74
(0.057)(0.181)(0.880)
Turkey -0.544 0.682 0.137 0.033 0.06 0.06 0.00 0.28 0.60 66.69
(0.171)(0.104)(0.131)
U.S. -0.247 1.116 -0.398 0.010 1.42 9.62 2.49 0.64 0.82 104.58
(0.091)(0.045)(0.189)
U.K. -0.174 1.186 -1.068 0.007 1.45 0.04 6.87 1.75 0.85 118.35
(0.070)(0.047)(0.398)
Figures in brackets are the standard errors.
PAGE 29
PMLE VERSION
Group-Specific Estimates of the Long-run Coefficients
Based on ARDL Specifications With Pre-Specified Lags
******** ************************** **************************
Group Estimates Diagnostic Statistics
******** ************************** **************************
Dependent variable: Y
Phi lndi dp SIGMA Ch-SC CH-FF CH-NO CH-HE RBARSQ LL
Australi -0.101 0.904 -0.466 0.007 0.91 0.76 0.07 1.56 0.68 115.27
(0.033)(0.009)(0.057)
Austria -0.332 0.904 -0.466 0.012 2.21 1.98 5.53 0.01 0.58 99.29
(0.086)(0.009)(0.057)
Belgium -0.173 0.904 -0.466 0.011 0.95 0.38 0.18 3.04 0.66 100.07
(0.048)(0.009)(0.057)
Canada -0.164 0.904 -0.466 0.010 3.81 1.33 1.62 3.72 0.84 106.20
(0.053)(0.009)(0.057)
Denmark -0.108 0.904 -0.466 0.015 1.48 0.05 0.66 0.13 0.71 91.99
(0.098)(0.009)(0.057)
Finland -0.399 0.904 -0.466 0.010 0.07 0.15 0.94 0.54 0.91 104.74
(0.054)(0.009)(0.057)
France -0.080 0.904 -0.466 0.006 0.01 0.52 0.91 0.06 0.85 123.15
(0.025)(0.009)(0.057)
Germany -0.089 0.904 -0.466 0.013 1.37 17.75 4.75 3.47 0.90 96.40
(0.056)(0.009)(0.057)
Greece -0.190 0.904 -0.466 0.011 2.48 0.11 1.18 0.82 0.70 101.34
(0.054)(0.009)(0.057)
Iceland -0.036 0.904 -0.466 0.027 0.29 0.19 1.40 1.85 0.85 73.62
(0.059)(0.009)(0.057)
Ireland -0.420 0.904 -0.466 0.021 0.02 0.51 1.15 5.99 0.56 81.79
(0.123)(0.009)(0.057)
Italy -0.072 0.904 -0.466 0.012 1.01 1.70 1.40 0.95 0.75 98.90
(0.031)(0.009)(0.057)
Japan -0.222 0.904 -0.466 0.008 1.64 0.20 1.08 0.20 0.91 112.27
(0.035)(0.009)(0.057)
Luxembou 0.008 0.904 -0.466 0.016 4.22 0.15 2.87 0.19 -0.08 90.29
(0.029)(0.009)(0.057)
Netherla -0.298 0.904 -0.466 0.012 9.36 0.05 2.79 0.63 0.78 99.27
(0.067)(0.009)(0.057)
NewZeala -0.498 0.904 -0.466 0.015 5.05 1.25 1.88 2.80 0.73 92.88
(0.089)(0.009)(0.057)
Norway -0.517 0.904 -0.466 0.021 7.58 0.29 2.61 0.00 0.43 81.66
(0.099)(0.009)(0.057)
Portugal -0.378 0.904 -0.466 0.032 0.07 8.48 1.17 12.41 0.65 68.19
(0.067)(0.009)(0.057)
Spain -0.195 0.904 -0.466 0.010 0.74 0.03 2.58 0.61 0.88 104.21
(0.067)(0.009)(0.057)
Sweden -0.309 0.904 -0.466 0.012 0.41 0.27 0.84 2.33 0.72 100.31
(0.097)(0.009)(0.057)
Switzerl -0.052 0.904 -0.466 0.009 3.08 0.16 0.64 0.31 0.71 108.78
(0.058)(0.009)(0.057)
Turkey -0.122 0.904 -0.466 0.038 1.43 0.33 0.41 0.00 0.48 62.46
(0.084)(0.009)(0.057)
U.S. -0.013 0.904 -0.466 0.012 2.96 7.24 0.97 1.71 0.73 98.79
(0.055)(0.009)(0.057)
U.K. -0.038 0.904 -0.466 0.007 0.53 0.54 3.29 1.27 0.82 115.21
(0.024)(0.009)(0.057)
Figures in brackets are the standard errors.