[问答] 协整检验输出结果怎么看 [推广有奖]

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笨蛋、牵我手 发表于 2013-4-5 16:40:02 |AI写论文

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谁能帮我看看EVIEWS 6.0输出的协整检验结果，顺便帮我写出协整方程，不胜感激！这计量看似简单，怎么自学起来这么难！
Date: 04/05/13 Time: 16:29
Sample (adjusted): 2000 2012
Included observations: 13 after adjustments
Trend assumption: Linear deterministic trend
Series: GDP TR
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    0.301761    6.468845    15.49471    0.6401
At most 1    0.129258    1.799322    3.841466    0.1798

Trace 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 Cointegration Rank Test (Maximum Eigenvalue)

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

None    0.301761    4.669524    14.26460    0.7828
At most 1    0.129258    1.799322    3.841466    0.1798

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'*S11*b=I):

GDP TR
-14.91561    14.14390
14.50103 -10.48762

Unrestricted Adjustment Coefficients (alpha):

D(GDP)    0.030497 -0.000256
D(TR)    0.031639    0.021781

1 Cointegrating Equation(s): Log likelihood    39.31731

Normalized cointegrating coefficients (standard error in parentheses)
GDP TR
1.000000 -0.948262
   (0.07954)

Adjustment coefficients (standard error in parentheses)
D(GDP) -0.454880
   (0.23067)
D(TR) -0.471918
   (0.38469)