| Date: 03/12/07 Time: 16:10 | | | ||
| Sample (adjusted): 1982 2004 | | | ||
| Included observations: 23 after adjustments | | |||
| Trend assumption: Linear deterministic trend (restricted) | ||||
| Series: XF Y | | | | |
| 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 * | 0.851192 | 49.06428 | 25.87211 | 0.0000 |
| At most 1 | 0.203978 | 5.246962 | 12.51798 | 0.5613 |
| | | | | |
| | | | | |
| 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 * | 0.851192 | 43.81731 | 19.38704 | 0.0000 |
| At most 1 | 0.203978 | 5.246962 | 12.51798 | 0.5613 |
| | | | | |
| | | | | |
| 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): | ||||
| | | | | |
| | | | | |
| XF | Y | @TREND(81) | | |
| -0.041842 | 0.024648 | 0.629903 | | |
| -0.011335 | 0.008725 | -0.230154 | | |
| | | | | |
| | | | | |
| | | | | |
| Unrestricted Adjustment Coefficients (alpha): | | |||
| | | | | |
| | | | | |
| D(XF) | 50.34546 | -15.61782 | | |
| D(Y) | 32.96275 | -23.96608 | | |
| | | | | |
| | | | | |
| | | | | |
| 1 Cointegrating Equation(s): | Log likelihood | -213.9005 | | |
| | | | | |
| | | | | |
| Normalized cointegrating coefficients (standard error in parentheses) | ||||
| XF | Y | @TREND(81) | | |
| 1.000000 | -0.589062 | -15.05426 | | |
| | (0.01075) | (1.32604) | | |
| | | | | |
| Adjustment coefficients (standard error in parentheses) | | |||
| D(XF) | -2.106562 | | | |
| | (0.38861) | | | |
| D(Y) | -1.379233 | | | |
| | (0.52628) | | | |
| | | | | |
| | | | | |
| | | | | |
谢谢各位大虾了!


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