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[问答] 急。求怎么看检验结果? [推广有奖]

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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
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关键词:coefficients unrestricted observations Integrating coefficient EVIEWS 检验 结果

沙发
weikang211 发表于 2011-7-8 18:17:27 |只看作者 |坛友微信交流群
自己顶一下。希望大家帮一下忙。谢谢

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moliwunv 发表于 2011-7-9 17:03:50 |只看作者 |坛友微信交流群
bangni顶一下

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