协整方程？

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

 

Hypothesized		Trace	5 Percent	1 Percent
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Critical Value
None *	0.023583	16.36175	15.41	20.04
At most 1 *	0.008754	4.404927	3.76	6.65
Trace test indicates 2 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	0.023583	11.95682	14.07	18.63
At most 1 *	0.008754	4.404927	3.76	6.65
Max-eigenvalue test indicates no cointegration at both 5% and 1% levels
*(**) denotes rejection of the hypothesis at the 5%(1%) level
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
RMBPUSD	STOCKB
0.167170	0.028192
-0.055285	-0.020450
Unrestricted Adjustment Coefficients (alpha):
D(RMBPUSD)	0.041099	0.046015
D(STOCKB)	-0.728759	0.203484
1 Cointegrating Equation(s):		Log likelihood	-1951.965
Normalized cointegrating coefficients (standard error in parentheses)
RMBPUSD	STOCKB
1.000000	0.168640
	(0.01835)
Adjustment coefficients (standard error in parentheses)
D(RMBPUSD)	0.006870
	(0.00421)
D(STOCKB)	-0.121826
	(0.03900)

这个结果说明有几个协整关系？那么协整方程如何得出呢？

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：协整方程 coefficients unrestricted coefficient Integrating 方程

5%下，两个协整关系