[资料] 协整结果出来了可是公式怎么写呀？求高人解答。 [推广有奖]

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siwei8518 发表于 2012-11-16 21:43:12 |只看作者 |坛友微信交流群|倒序 |AI写论文

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三个变量房屋销售价格指数V 货币M 利率R
进行了单位根检验。结果均为一阶平稳。
然后直接进行协整。
我想继续做误差修正模型可是是不是要先把公式写出来呢？
可是系数里面写着3.29E-0.5 那方程该怎么写啊？

Date: 11/16/12 Time: 22:22
Sample (adjusted): 2005M04 2010M12
Included observations: 69 after adjustments
Trend assumption: Linear deterministic trend
Series: VINDEX M2 R
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 *	0.224538	36.22586	29.79707	0.0079
At most 1 *	0.174424	18.67939	15.49471	0.0160
At most 2 *	0.075998	5.453845	3.841466	0.0195
Trace test indicates 3 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	0.224538	17.54647	21.13162	0.1478
At most 1	0.174424	13.22554	14.26460	0.0725
At most 2 *	0.075998	5.453845	3.841466	0.0195
Max-eigenvalue test indicates no cointegration 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'S11b=I):
VINDEX	M2	R
1.935441	8.23E-06	2.527027
0.965967	1.46E-06	8.142993
-1.410489	1.44E-05	11.24106

Unrestricted Adjustment Coefficients (alpha):
D(VINDEX)	-0.100138	-0.050296	-0.024396
D(M2)	499.4574	-1783.279	251.0424
D(R)	0.004230	0.003277	-0.010609

1 Cointegrating Equation(s):		Log likelihood	-544.7656
Normalized cointegrating coefficients (standard error in parentheses)
VINDEX	M2	R
1.000000	4.25E-06	1.305659
	(2.0E-06)	(1.72823)

Adjustment coefficients (standard error in parentheses)
D(VINDEX)	-0.193811
	(0.05915)
D(M2)	966.6704
	(1106.09)
D(R)	0.008187
	(0.00993)

2 Cointegrating Equation(s):		Log likelihood	-538.1529
Normalized cointegrating coefficients (standard error in parentheses)
VINDEX	M2	R
1.000000	0.000000	12.37250
		(3.57790)
0.000000	1.000000	-2602642.
		(904338.)

Adjustment coefficients (standard error in parentheses)
D(VINDEX)	-0.242395	-8.98E-07
	(0.06462)	(2.5E-07)
D(M2)	-755.9187	0.001501
	(1133.24)	(0.00438)
D(R)	0.011352	3.96E-08
	(0.01106)	(4.3E-08)