[问答] 协整方程怎么写！》！？！？！？ [推广有奖]

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sisiguo 发表于 2014-3-18 00:08:38 |AI写论文

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以下是我的通过JJ做出来的协整结果请问怎么写出协整方程？？求大神帮写出来谢谢！另外，昨晚这个不做格兰杰因果检验可以么？？？？就用协整方程来解释经济意义可以么

Date: 03/18/14 Time: 00:01
Sample (adjusted): 3/01/1995 9/01/2013
Included observations: 75 after adjustments
Trend assumption: Linear deterministic trend
Series: DFD DGDPPC DRETOGDP DTROPEN
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 *    0.488506    99.30281    47.85613    0.0000
At most 1 *    0.290189    49.02135    29.79707    0.0001
At most 2 *    0.153998    23.31457    15.49471    0.0027
At most 3 *    0.133789    10.77201    3.841466    0.0010

Trace test indicates 4 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 *    0.488506    50.28147    27.58434    0.0000
At most 1 *    0.290189    25.70678    21.13162    0.0106
At most 2    0.153998    12.54256    14.26460    0.0919
At most 3 *    0.133789    10.77201    3.841466    0.0010

Max-eigenvalue test indicates 2 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 Cointegrating Coefficients (normalized by b'*S11*b=I):

DFD DGDPPC DRETOGDP DTROPEN
94.25801    1.70E-06    0.848163    557.5999
66.03432 -0.000241    103.5625 -131.0079
-45.32149 -0.000256    164.7156 -16.74053
-43.77563 -0.000977 -209.8448 -116.0932

Unrestricted Adjustment Coefficients (alpha):

D(DFD) -0.003902 -0.008099    0.001962    0.000922
D(DGDPPC)    661.9354    522.6384    419.8101    525.5842
D(DRETOGDP) -0.001128 -0.001301 -0.002600    0.000142
D(DTROPEN) -0.002686    0.001123 -0.000582 -0.000214

1 Cointegrating Equation(s): Log likelihood    134.4641

Normalized cointegrating coefficients (standard error in parentheses)
DFD DGDPPC DRETOGDP DTROPEN
1.000000    1.80E-08    0.008998    5.915677
   (1.3E-06)    (0.37499)    (0.59928)

Adjustment coefficients (standard error in parentheses)
D(DFD) -0.367795
   (0.19330)
D(DGDPPC)    62392.71
   (25100.1)
D(DRETOGDP) -0.106358
   (0.08368)
D(DTROPEN) -0.253146
   (0.04443)

2 Cointegrating Equation(s): Log likelihood    147.3175

Normalized cointegrating coefficients (standard error in parentheses)
DFD DGDPPC DRETOGDP DTROPEN
1.000000    0.000000    0.016672    5.876802
   (0.33731)    (0.59410)
0.000000    1.000000 -425782.3    2157046.
   (222127.)    (391232.)

Adjustment coefficients (standard error in parentheses)
D(DFD) -0.902638    1.94E-06
   (0.20576)    (4.3E-07)
D(DGDPPC)    96904.78 -0.124645
   (29724.8)    (0.06215)
D(DRETOGDP) -0.192282    3.11E-07
   (0.10046)    (2.1E-07)
D(DTROPEN) -0.178960 -2.75E-07
   (0.05182)    (1.1E-07)

3 Cointegrating Equation(s): Log likelihood    153.5888

Normalized cointegrating coefficients (standard error in parentheses)
DFD DGDPPC DRETOGDP DTROPEN
1.000000    0.000000    0.000000    5.641191
   (0.56573)
0.000000    1.000000    0.000000    8174297.
   (1544026)
0.000000    0.000000    1.000000    14.13222
   (2.97772)

Adjustment coefficients (standard error in parentheses)
D(DFD) -0.991559    1.44E-06 -0.518940
   (0.21908)    (6.2E-07)    (0.34462)
D(DGDPPC)    77878.36 -0.231924    123836.4
   (31290.7)    (0.08880)    (49221.5)
D(DRETOGDP) -0.074435    9.76E-07 -0.564016
   (0.10033)    (2.8E-07)    (0.15783)
D(DTROPEN) -0.152600 -1.26E-07    0.018265
   (0.05497)    (1.6E-07)    (0.08648)