我已经能够求出var的结果如下,可是怎么施加约束?如何输入矩阵A和B?本人搞了好长时间都没搞懂,希望各位大侠帮帮忙,以下是var的结果:
Vector Error Correction Estimates
Date: 01/13/12 Time: 06:31
Sample (adjusted): 1988 2010
Included observations: 23 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
FER0(-1) 1.000000
ER0(-1) -2.082065
(0.07891)
[-26.3838]
GDP0(-1) -1.902978
(0.04207)
[-45.2351]
C 24.19780
Error Correction: D(FER0) D(ER0) D(GDP0)
CointEq1 -0.551965 0.089391 0.170586
(0.34396) (0.17353) (0.16760)
[-1.60475] [ 0.51513] [ 1.01781]
D(FER0(-1)) 0.363762 -0.176016 -0.029681
(0.35840) (0.18082) (0.17464)
[ 1.01495] [-0.97344] [-0.16995]
D(FER0(-2)) 0.108597 -0.179915 0.019947
(0.30198) (0.15235) (0.14715)
[ 0.35961] [-1.18089] [ 0.13555]
D(ER0(-1)) 0.838824 0.093300 0.693590
(1.09979) (0.55486) (0.53590)
[ 0.76271] [ 0.16815] [ 1.29425]
D(ER0(-2)) -0.497785 0.840606 -0.444711
(1.47235) (0.74282) (0.71744)
[-0.33809] [ 1.13164] [-0.61985]
D(GDP0(-1)) 0.859315 -0.152112 0.710604
(1.13602) (0.57314) (0.55356)
[ 0.75643] [-0.26540] [ 1.28371]
D(GDP0(-2)) 0.119090 0.685112 -0.449125
(1.26303) (0.63722) (0.61545)
[ 0.09429] [ 1.07516] [-0.72976]
C 0.030978 0.036194 0.093741
(0.15991) (0.08067) (0.07792)
[ 0.19372] [ 0.44864] [ 1.20306]
R-squared 0.364623 0.191681 0.246017
Adj. R-squared 0.068114 -0.185535 -0.105842
Sum sq. resids 0.733185 0.186621 0.174087
S.E. equation 0.221086 0.111541 0.107730
F-statistic 1.229721 0.508146 0.699192
Log likelihood 6.991704 22.72737 23.52693
Akaike AIC 0.087678 -1.280641 -1.350168
Schwarz SC 0.482632 -0.885686 -0.955213
Mean dependent 0.299197 0.026279 0.128848
S.D. dependent 0.229023 0.102442 0.102445
Determinant resid covariance (dof adj.) 2.18E-07
Determinant resid covariance 6.04E-08
Log likelihood 93.25887
Akaike information criterion -5.761640
Schwarz criterion -4.428669


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