我做了johansen检验分析。但是结果怎么看。协整关系式? 本人是新手。所以不知道有没有做错。我看到结果有两个协整关系式。但是怎么分析呢。谢谢啦麻烦啦
Date: 07/07/11 Time: 22:22
Sample (adjusted): 1991Q4 2010Q4
Included observations: 77 after adjustments
Trend assumption: Linear deterministic trend
Series: OIL E GDP CPI
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.324733 56.96580 47.85613 0.0055
At most 1 0.141908 26.73199 29.79707 0.1084
At most 2 0.125554 14.94759 15.49471 0.0603
At most 3 * 0.058197 4.616884 3.841466 0.0317
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 * 0.324733 30.23380 27.58434 0.0223
At most 1 0.141908 11.78440 21.13162 0.5691
At most 2 0.125554 10.33071 14.26460 0.1911
At most 3 * 0.058197 4.616884 3.841466 0.0317
Max-eigenvalue 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 Cointegrating Coefficients (normalized by b'*S11*b=I):
OIL E GDP CPI
0.005400 0.682655 -3.50E-06 0.140901
-0.097821 0.240499 9.65E-05 0.004159
-0.052297 -0.780936 1.89E-05 0.039718
-0.020887 -0.555610 5.33E-05 0.090434
Unrestricted Adjustment Coefficients (alpha):
D(OIL) 0.566680 2.703802 0.041589 0.061836
D(E) 0.002843 -0.016697 0.113971 0.017492
D(GDP) -996.1804 -269.0122 -706.2899 1828.722
D(CPI) -0.591657 0.080984 0.197865 0.022624
1 Cointegrating Equation(s): Log likelihood -1186.125
Normalized cointegrating coefficients (standard error in parentheses)
OIL E GDP CPI
1.000000 126.4293 -0.000648 26.09517
(38.0382) (0.00148) (5.51824)
Adjustment coefficients (standard error in parentheses)
D(OIL) 0.003060
(0.00477)
D(E) 1.53E-05
(0.00022)
D(GDP) -5.378879
(5.27765)
D(CPI) -0.003195
(0.00069)
2 Cointegrating Equation(s): Log likelihood -1180.233
Normalized cointegrating coefficients (standard error in parentheses)
OIL E GDP CPI
1.000000 0.000000 -0.000980 0.456073
(0.00014) (0.51602)
0.000000 1.000000 2.63E-06 0.202794
(1.1E-05) (0.04265)
Adjustment coefficients (standard error in parentheses)
D(OIL) -0.261428 1.037110
(0.08025) (0.59285)
D(E) 0.001649 -0.002075
(0.00398) (0.02938)
D(GDP) 20.93604 -744.7449
(95.7045) (707.047)
D(CPI) -0.011117 -0.384421
(0.01249) (0.09224)
3 Cointegrating Equation(s): Log likelihood -1175.068
Normalized cointegrating coefficients (standard error in parentheses)
OIL E GDP CPI
1.000000 0.000000 0.000000 -6.720116
(2.02215)
0.000000 1.000000 0.000000 0.222017
(0.04428)
0.000000 0.000000 1.000000 -7320.192
(2231.85)
Adjustment coefficients (standard error in parentheses)
D(OIL) -0.263603 1.004632 0.000260
(0.09096) (0.87214) (8.1E-05)
D(E) -0.004312 -0.091079 5.32E-07
(0.00423) (0.04060) (3.8E-06)
D(GDP) 57.87258 -193.1775 -0.035828
(108.062) (1036.08) (0.09577)
D(CPI) -0.021464 -0.538941 1.36E-05
(0.01390) (0.13323) (1.2E-05)
谢谢各位童鞋和前辈啦