[资料] johansen检验结果怎么看？ [推广有奖]

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xiayu1990 发表于 2012-2-27 22:27:25 |AI写论文

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求助！！！！！！
下面的检验结果看来应该是有两个协整方程对吧？
可是协整方程是看哪里的？？
初学者，各种不懂……

检验输出的结果如下：
Date: 02/27/12 Time: 22:12
Sample (adjusted): 1988 2010
Included observations: 23 after adjustments
Trend assumption: Linear deterministic trend
Series: LNEX LNFDIF LNIM
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 *  0.930907  81.85108  29.79707  0.0000
At most 1 *  0.577107  20.38801  15.49471  0.0084
At most 2  0.025469  0.593377  3.841466  0.4411

Trace 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 Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized  Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *  0.930907  61.46307  21.13162  0.0000
At most 1 *  0.577107  19.79463  14.26460  0.0060
At most 2  0.025469  0.593377  3.841466  0.4411

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):

LNEX          LNFDIF       LNIM
1.548050  0.011745 -1.802168
3.331035 -3.705361  0.962127
-0.675197 -0.528693  0.578665

Unrestricted Adjustment Coefficients (alpha):

D(LNEX)  0.002421  0.076448  0.013545
D(LNFDIF)  0.459143  0.217312 -0.037986
D(LNIM)  0.361296  0.044383  0.017931

1 Cointegrating Equation(s): Log likelihood  21.71623

Normalized cointegrating coefficients (standard error in parentheses)
LNEX          LNFDIF    LNIM
1.000000  0.007587 -1.164154
  (0.08023)  (0.08807)

Adjustment coefficients (standard error in parentheses)
D(LNEX)  0.003749
  (0.04804)
D(LNFDIF)  0.710777
  (0.14325)
D(LNIM)  0.559304
  (0.05852)

2 Cointegrating Equation(s): Log likelihood  31.61354

Normalized cointegrating coefficients (standard error in parentheses)
LNEX             LNFDIF    LNIM
1.000000  0.000000 -1.154310
(0.02920)
0.000000  1.000000 -1.297357
(0.04646)

Adjustment coefficients (standard error in parentheses)
D(LNEX)  0.258399 -0.283239
  (0.09279)  (0.09360)
D(LNFDIF)  1.434651 -0.799827
  (0.28308)  (0.28556)
D(LNIM)  0.707147 -0.160212
  (0.13344)  (0.13461)