下面是johansen检验的结果,通过对迹统计量检验,有一个协整关系。但通过最大特征值检验却有两个协整关系。这是什么原因呢,哪我这个协整是有一个还是两个啊,请大家帮我看看是,还有他的协整方程是什么呀?我以前没有接触过EVIEWS,问题可能比较弱,见笑、见笑。多谢多谢呀~~
Date: 03/17/11 Time: 10:57
Sample (adjusted): 1998Q3 2004Q4
Included observations: 26 after adjustments
Trend assumption: Linear deterministic trend
Series: MO GDP TT R01 X01
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 * 0.925912 113.9244 69.81889 0.0000
At most 1 0.690816 46.25950 47.85613 0.0701
At most 2 0.257282 15.74022 29.79707 0.7304
At most 3 0.217863 8.006808 15.49471 0.4647
At most 4 0.060332 1.617933 3.841466 0.2034
Trace test indicates 1 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 * 0.925912 67.66494 33.87687 0.0000
At most 1 * 0.690816 30.51928 27.58434 0.0204
At most 2 0.257282 7.733412 21.13162 0.9193
At most 3 0.217863 6.388874 14.26460 0.5638
At most 4 0.060332 1.617933 3.841466 0.2034
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):
MO GDP TT R01 X01
-24.58864 17.51843 -104.5981 -89.19221 1.947729
4.294429 -4.127868 86.74621 -66.11885 -1.295806
9.960980 -10.83735 -46.81535 -29.92932 -0.833036
1.179915 -0.637039 -38.43052 6.407488 1.916006
-17.66220 8.704530 51.92858 60.66271 4.018396
Unrestricted Adjustment Coefficients (alpha):
D(MO) 0.045103 0.008472 -0.007904 -0.004384 0.009854
D(GDP) 0.012670 0.027046 -0.014458 0.013709 0.013144
D(TT) -0.008054 -0.016762 0.006205 0.001871 -0.011118
D(R01) 0.015690 0.022937 -0.003897 0.000307 0.009660
D(X01) -0.026106 -0.084733 0.071443 -0.077694 -0.012177
1 Cointegrating Equation(s): Log likelihood 286.2863
Normalized cointegrating coefficients (standard error in parentheses)
MO GDP TT R01 X01
1.000000 -0.712460 4.253918 3.627374 -0.079213
(0.01434) (0.39688) (0.34060) (0.00816)
Adjustment coefficients (standard error in parentheses)
D(MO) -1.109032
(0.26501)
D(GDP) -0.311533
(0.42253)
D(TT) 0.198040
(0.28910)
D(R01) -0.385792
(0.27562)
D(X01) 0.641910
(1.38695)
2 Cointegrating Equation(s): Log likelihood 301.5459
Normalized cointegrating coefficients (standard error in parentheses)
MO GDP TT R01 X01
1.000000 0.000000 -41.41663 58.11369 0.558134
(15.1454) (13.2171) (0.28619)
0.000000 1.000000 -64.10258 76.47628 0.894572
(21.2108) (18.5102) (0.40080)
Adjustment coefficients (standard error in parentheses)
D(MO) -1.072649 0.755170
(0.26461) (0.19080)
D(GDP) -0.195386 0.110313
(0.39999) (0.28841)
D(TT) 0.126056 -0.071904
(0.27734) (0.19998)
D(R01) -0.287290 0.180180
(0.24705) (0.17814)
D(X01) 0.278031 -0.107570
(1.32169) (0.95301)
3 Cointegrating Equation(s): Log likelihood 305.4126
Normalized cointegrating coefficients (standard error in parentheses)
MO GDP TT R01 X01
1.000000 0.000000 0.000000 30.41573 0.142393
(7.28950) (0.16885)
0.000000 1.000000 0.000000 33.60676 0.251108
(10.2953) (0.23848)
0.000000 0.000000 1.000000 -0.668764 -0.010038
(0.24239) (0.00561)
Adjustment coefficients (standard error in parentheses)
D(MO) -1.151383 0.840831 -3.612778
(0.28070) (0.21944) (1.50120)
D(GDP) -0.339400 0.266998 1.697754
(0.42133) (0.32937) (2.25328)
D(TT) 0.187860 -0.139145 -0.902076
(0.29614) (0.23151) (1.58376)
D(R01) -0.326109 0.222415 0.531027
(0.26491) (0.20709) (1.41671)
D(X01) 0.989672 -0.881821 -7.964234
(1.35316) (1.05781) (7.23664)
4 Cointegrating Equation(s): Log likelihood 308.6070
Normalized cointegrating coefficients (standard error in parentheses)
MO GDP TT R01 X01
1.000000 0.000000 0.000000 0.000000 1.513284
(0.76552)
0.000000 1.000000 0.000000 0.000000 1.765824
(0.85509)
0.000000 0.000000 1.000000 0.000000 -0.040180
(0.01644)
0.000000 0.000000 0.000000 1.000000 -0.045072
(0.02502)
Adjustment coefficients (standard error in parentheses)
D(MO) -1.156556 0.843624 -3.444295 -4.374554
(0.27967) (0.21852) (1.54671) (1.19732)
D(GDP) -0.323225 0.258264 1.170917 -2.397747
(0.41317) (0.32282) (2.28503) (1.76886)
D(TT) 0.190069 -0.140338 -0.973999 1.652953
(0.29620) (0.23144) (1.63816) (1.26811)
D(R01) -0.325747 0.222219 0.519235 -2.797383
(0.26515) (0.20718) (1.46644) (1.13518)
D(X01) 0.898000 -0.832327 -4.978405 5.294814
(1.26675) (0.98976) (7.00578) (5.42322)


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