问题:1,为什么没有常数C呢,是我的检验方法有问题?
2,如果正确,那么协整方程是多少?
Date: 03/04/14 Time: 20:19 |
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Sample (adjusted): 2004 2011 |
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Included observations: 8 after adjustments |
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Trend assumption: Linear deterministic trend |
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Series: HP RM |
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Lags interval (in first differences): 1 to 1 |
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Hypothesized |
| Trace | 5 Percent | 1 Percent |
No. of CE(s) | Eigenvalue | Statistic | Critical Value | Critical Value |
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None ** | 0.977540 | 32.46957 | 15.41 | 20.04 |
At most 1 | 0.231017 | 2.101491 | 3.76 | 6.65 |
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Trace test indicates 1 cointegrating equation(s) at both 5% and 1% levels | ||||
*(**) denotes rejection of the hypothesis at the 5%(1%) level | ||||
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Hypothesized |
| Max-Eigen | 5 Percent | 1 Percent |
No. of CE(s) | Eigenvalue | Statistic | Critical Value | Critical Value |
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None ** | 0.977540 | 30.36808 | 14.07 | 18.63 |
At most 1 | 0.231017 | 2.101491 | 3.76 | 6.65 |
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Max-eigenvalue test indicates 1 cointegrating equation(s) at both 5% and 1% levels | ||||
*(**) denotes rejection of the hypothesis at the 5%(1%) level | ||||
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Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): | ||||
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HP | RM |
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-0.000119 | 2.66E-10 |
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0.000338 | 1.66E-10 |
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Unrestricted Adjustment Coefficients (alpha): |
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D(HP) | 283.3834 | -476.8764 |
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D(RM) | -5.46E+09 | 5.68E+08 |
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1 Cointegrating Equation(s): | Log likelihood | -241.6626 |
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Normalized cointegrating coefficients (standard error in parentheses) | ||||
HP | RM |
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1.000000 | -2.23E-06 |
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| (1.9E-07) |
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Adjustment coefficients (standard error in parentheses) |
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D(HP) | -0.033718 |
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| (0.05908) |
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D(RM) | 649520.1 |
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| (85819.9) |
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