Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.461927 69.74973 54.07904 0.0011
At most 1 0.232689 34.42337 35.19275 0.0604
At most 2 0.171903 19.32618 20.26184 0.0669
At most 3 0.139663 8.574573 9.164546 0.0646
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 * 0.461927 35.32636 28.58808 0.0059
At most 1 0.232689 15.09719 22.29962 0.3671
At most 2 0.171903 10.75161 15.89210 0.2708
At most 3 0.139663 8.574573 9.164546 0.0646
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):
LNHPI LNINC_SATT R LNCOST2 C
30.40666 -13.12557 -0.221632 -15.95640 30.30476
-7.578398 24.27294 1.445322 -23.95443 -41.55047
16.58215 -17.30718 -1.042878 -6.910087 91.19895
-6.135661 1.496987 0.563469 18.44280 -72.03640
Unrestricted Adjustment Coefficients (alpha):
D(LNHPI) -0.003927 0.003535 0.000460 -0.000102
D(LNINC_SATT) -0.002916 -0.002027 0.005589 0.005026
D(R) -0.008677 0.003740 0.006458 -0.047274
D(LNCOST2) 0.003952 0.001643 0.002518 -0.001488
1 Cointegrating Equation(s): Log likelihood 584.2797
Normalized cointegrating coefficients (standard error in parentheses)
LNHPI LNINC_SATT R LNCOST2 C
1.000000 -0.431667 -0.007289 -0.524767 0.996649
(0.11261) (0.01108) (0.17563) (0.47996)
Adjustment coefficients (standard error in parentheses)
D(LNHPI) -0.119405
(0.03749)
D(LNINC_SATT) -0.088656
(0.08669)
D(R) -0.263833
(0.56191)
D(LNCOST2) 0.120172
(0.03987)
2 Cointegrating Equation(s): Log likelihood 591.8283
Normalized cointegrating coefficients (standard error in parentheses)
LNHPI LNINC_SATT R LNCOST2 C
1.000000 0.000000 0.021283 -1.098868 0.297863
(0.01088) (0.14452) (0.68559)
0.000000 1.000000 0.066189 -1.329962 -1.618805
(0.01714) (0.22776) (1.08051)
Adjustment coefficients (standard error in parentheses)
D(LNHPI) -0.146194 0.137344
(0.03517) (0.03097)
D(LNINC_SATT) -0.073291 -0.010942
(0.08887) (0.07826)
D(R) -0.292176 0.204670
(0.57885) (0.50972)
D(LNCOST2) 0.107721 -0.011996
(0.04042) (0.03559)
3 Cointegrating Equation(s): Log likelihood 597.2041
Normalized cointegrating coefficients (standard error in parentheses)
LNHPI LNINC_SATT R LNCOST2 C
1.000000 0.000000 0.000000 -2.094490 5.251383
(0.56716) (2.67992)
0.000000 1.000000 0.000000 -4.426330 13.78657
(1.74836) (8.26130)
0.000000 0.000000 1.000000 46.78038 -232.7466
(25.0699) (118.460)
Adjustment coefficients (standard error in parentheses)
D(LNHPI) -0.138574 0.129390 0.005500
(0.03972) (0.03650) (0.00201)
D(LNINC_SATT) 0.019388 -0.107674 -0.008113
(0.09639) (0.08856) (0.00488)
D(R) -0.185092 0.092904 0.000594
(0.65406) (0.60092) (0.03313)
D(LNCOST2) 0.149482 -0.055582 -0.001128
(0.04387) (0.04031) (0.00222)
求助这个协整方程该如何写,系数是否显著?非常感激!!!