请问是否存在协整关系？滞后一阶好，还是滞后两阶好？

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Date: 03/22/11   Time: 12:54   
Sample: 1985 2009   
Included observations: 19   
Test assumption: Linear deterministic trend in the data   
Series: D(URB,2) D(INS,2) D(GDP,2)     
Lags interval: 1 to 2   
   
Likelihood 5 Percent 1 Percent Hypothesized
Eigenvalue Ratio Critical Value Critical Value No. of CE(s)
   
0.936242  90.91889  29.68  35.65       None **
0.768081  38.61841  15.41  20.04    At most 1 **
0.435143  10.85247   3.76   6.65    At most 2 **
   
*(**) denotes rejection of the hypothesis at 5%(1%) significance level   
L.R. test indicates 3 cointegrating equation(s) at 5% significance level   
   
Unnormalized Cointegrating Coefficients:   
   
D(URB,2) D(INS,2) D(GDP,2)  
0.140785  0.000877 -1.85E-06  
-1.252538  0.000294 -4.95E-05  
0.016164  0.000223 -7.42E-05  
   
   
Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s)   
   
D(URB,2) D(INS,2) D(GDP,2) C
1.000000  0.006227 -1.31E-05 -0.880578
  (0.00344)  (4.2E-05)  
   
Log likelihood -309.0133   
   
   
Normalized Cointegrating Coefficients: 2 Cointegrating Equation(s)   
   
D(URB,2) D(INS,2) D(GDP,2) C
1.000000  0.000000  3.76E-05 -0.112610
   (7.2E-06)  
0.000000  1.000000 -0.008142 -123.3256
   (0.00494)  
   
Log likelihood -295.1304

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：协整关系 coefficients significance observations Integrating hypothesis Series

两个你可以都做一下