| | | | |
| | | | |
Hypothesized | | Trace | 5 Percent | 1 Percent |
No. of CE(s) | Eigenvalue | Statistic | Critical Value | Critical Value |
| | | | |
| | | | |
None * | 0.033499 | 19.89849 | 15.41 | 20.04 |
At most 1 | 0.005628 | 2.827760 | 3.76 | 6.65 |
| | | | |
| | | | |
Trace test indicates 1 cointegrating equation(s) at the 5% level | ||||
Trace test indicates no cointegration at the 1% level | | |||
*(**) denotes rejection of the hypothesis at the 5%(1%) level | ||||
| | | | |
| | | | |
| | | | |
Hypothesized | | Max-Eigen | 5 Percent | 1 Percent |
No. of CE(s) | Eigenvalue | Statistic | Critical Value | Critical Value |
| | | | |
| | | | |
None * | 0.033499 | 17.07073 | 14.07 | 18.63 |
At most 1 | 0.005628 | 2.827760 | 3.76 | 6.65 |
| | | | |
| | | | |
Max-eigenvalue test indicates 1 cointegrating equation(s) at the 5% level | ||||
Max-eigenvalue test indicates no cointegration at the 1% level | ||||
*(**) denotes rejection of the hypothesis at the 5%(1%) level | ||||
| | | | |
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): | ||||
| | | | |
| | | | |
RMBPUSD | STOCKA | | | |
-0.158528 | -0.001534 | | | |
-0.154265 | -0.002499 | | | |
| | | | |
| | | | |
| | | | |
Unrestricted Adjustment Coefficients (alpha): | | |||
| | | | |
| | | | |
D(RMBPUSD) | -0.048794 | 0.037028 | | |
D(STOCKA) | 9.662281 | 1.765617 | | |
| | | | |
| | | | |
| | | | |
1 Cointegrating Equation(s): | Log likelihood | -3154.712 | | |
| | | | |
| | | | |
Normalized cointegrating coefficients (standard error in parentheses) | ||||
RMBPUSD | STOCKA | | | |
1.000000 | 0.009675 | | | |
| (0.00110) | | | |
| | | | |
Adjustment coefficients (standard error in parentheses) | | |||
D(RMBPUSD) | 0.007735 | | | |
| (0.00400) | | | |
D(STOCKA) | -1.531740 | | | |
| (0.40769) | | | |
| | | | |
| | | | |
请问:这个结果的协整方程如何得出?


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