1.我用了4个变量,单位根检验一阶单整,建立var模型,滞后项测试后选6,在johansen协整检验中滞后项选了5,结果出现4个协整关系。 2. 我不明白4个变量有4个协整是什么意思,是不是做错了? 3.能否通过lag项调整?还是如何调整? 最终目的是做vecm模型,但先需要一个合理的协整方程做现实汇率的估计。能够直接选择协整结果中的quation 1作为协整方程吗? (表2中),这是我最想知道的! 4. 如何用多协整关系建立VECM,请各位大侠给一些详细的步骤,我想建立的模型,3个自变量都要包括。 谢谢大家!!!救急啊! Date: 12/01/12 Time: 14:03 | Sample (adjusted): 9/01/1995 12/01/2010 | Included observations: 62 after adjustments | Trend assumption: No deterministic trend (restricted constant) | Series: INREER INNFA INTOTSM INTNT | Lags interval (in first differences): 1 to 5 |
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.608135 116.2250 54.07904 0.0000
At most 1 * 0.325344 58.14116 35.19275 0.0000
At most 2 * 0.267261 33.74091 20.26184 0.0004
At most 3 * 0.208038 14.46100 9.164546 0.0046
Trace test indicates 4 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
表2
1 Cointegrating Equation(s): Convergence achieved after 1 iterations. |
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| Restricted cointegrating coefficients (standard error in parentheses) | INREER | INTNT | INNFA | INTOTSM | C | 1.000000 | -0.101681 | -0.346070 | -3.118452 | 13.16860 | (0.00000) | (0.15436) | (0.06392) | (0.29769) | (1.92187) |
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