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[问答] 求助：协整检验回归结果应如何分析？ [推广有奖]

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bluemaple 发表于 2008-4-8 11:46:00 |只看作者 |坛友微信交流群|倒序 |AI写论文

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我做了包含7个变量的协整分析，但看了结果不知道如何分析，请高手指点！

我把我做的结果分了3个部分上传如下：

第一部分：

Date: 04/08/08 Time: 11:23
Sample (adjusted): 1998Q3 2006Q4
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
Series: LNG CR ER TR MR XR CPI
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 *	0.776102	174.1859	125.6154	3.24E-06
At most 1 *	0.733006	123.3028	95.75366	0.000189
At most 2 *	0.600122	78.40481	69.81889	0.008799
At most 3	0.568242	47.24056	47.85613	0.05705
At most 4	0.351145	18.68429	29.79707	0.515778
At most 5	0.11016	3.977744	15.49471	0.905356
At most 6	0.000278	0.009463	3.841466	0.922161

Trace test indicates 3 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 *	0.776102	50.88315	46.23142	0.014845
At most 1 *	0.733006	44.89794	40.07757	0.013268
At most 2	0.600122	31.16425	33.87687	0.101901
At most 3 *	0.568242	28.55627	27.58434	0.037448
At most 4	0.351145	14.70654	21.13162	0.309997
At most 5	0.11016	3.968282	14.2646	0.862661
At most 6	0.000278	0.009463	3.841466	0.922161

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'S11b=I):

LNG	CR	ER	TR	MR	XR	CPI
0.950299	-10.5737	2.728809	-2.00385	2.511978	8.176596	0.204935
4.842666	1.246928	-0.55076	-0.43774	0.497154	-1.05734	3.307101
-6.02234	18.38507	-10.2468	5.0245	4.017238	-28.28	1.133785
5.900256	2.634189	-0.21702	-0.7146	0.022643	-7.35735	-4.15769
7.122967	-2.55355	-2.61446	1.264055	4.295897	-42.8356	-0.54424
4.279201	7.329724	0.463107	-0.2079	0.983541	-5.06518	0.570085
-1.55425	-1.56549	1.639042	-0.65968	-2.58941	26.19787	0.505316


Unrestricted Adjustment Coefficients (alpha):

D(LNG)	0.034578	-0.01012	0.028251	-0.01794	-0.01972	-0.00324	0.000272
D(CR)	-0.00245	0.003228	-0.00042	0.015569	0.017974	-0.01261	-0.00022
D(ER)	0.180932	0.300357	0.133569	0.242978	0.12305	0.073281	-0.00267
D(TR)	0.666428	0.626742	0.092094	0.297506	0.111829	0.162006	-0.00433
D(MR)	-0.21912	0.067271	-0.18036	0.120225	0.133368	0.02315	-0.00113
D(XR)	-0.01835	0.004867	-0.01868	0.00598	0.0205	0.003598	-0.00014
D(CPI)	0.057375	-0.3438	-0.04528	0.180694	-0.05918	0.01473	0.000257

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关键词：回归结果协整检验 unrestricted coefficients observations 检验结果

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沙发

bluemaple 发表于 2008-4-8 11:48:00 |只看作者 |坛友微信交流群

第二部分：

1 Cointegrating Equation(s):		Log likelihood	203.3336

Normalized cointegrating coefficients (standard error in parentheses)
LNG	CR	ER	TR	MR	XR	CPI
1	-11.1267	2.871526	-2.10865	2.643355	8.604233	0.215653
	2.47441	1.19832	0.586013	0.771075	6.323693	0.604734

Adjustment coefficients (standard error in parentheses)
D(LNG)	0.03286
	0.011792
D(CR)	-0.00232
	0.010373
D(ER)	0.17194
	0.117708
D(TR)	0.633306
	0.206037
D(MR)	-0.20823
	0.075979
D(XR)	-0.01744
	0.008826
D(CPI)	0.054523
	0.092186


2 Cointegrating Equation(s):		Log likelihood	225.7826

Normalized cointegrating coefficients (standard error in parentheses)
LNG	CR	ER	TR	MR	XR	CPI
1	0	-0.04621	-0.13604	0.160127	-0.01879	0.672341
		0.14846	0.07322	0.153935	1.112459	0.130743
0	1	-0.26223	0.177285	-0.22318	-0.77498	0.041044
		0.061626	0.030394	0.063899	0.461785	0.054272

Adjustment coefficients (standard error in parentheses)
D(LNG)	-0.01614	-0.37824
	0.060417	0.130346
D(CR)	0.013307	0.029888
	0.053774	0.116013
D(ER)	1.62647	-1.5386
	0.534575	1.153309
D(TR)	3.668407	-6.26512
	0.873031	1.883505
D(MR)	0.11754	2.40084
	0.388942	0.839116
D(XR)	0.00613	0.200139
	0.045581	0.098337
D(CPI)	-1.61041	-1.03536
	0.337693	0.728549


3 Cointegrating Equation(s):		Log likelihood	241.3647

Normalized cointegrating coefficients (standard error in parentheses)
LNG	CR	ER	TR	MR	XR	CPI
1	0	0	-0.1437	0.086529	0.095803	0.636466
			0.024756	0.083992	0.513548	0.125479
0	1	0	0.133805	-0.64082	-0.1247	-0.16253
			0.021686	0.073577	0.449866	0.109919
0	0	1	-0.16581	-1.59268	2.47983	-0.77634
			0.051184	0.173657	1.061785	0.259434

Adjustment coefficients (standard error in parentheses)
D(LNG)	-0.18628	0.141157	-0.18955
	0.084563	0.230742	0.115322
D(CR)	0.015818	0.02222	-0.00418
	0.084837	0.23149	0.115696
D(ER)	0.822073	0.917071	-1.04035
	0.817359	2.230283	1.11467
D(TR)	3.113788	-4.57197	0.529705
	1.369911	3.738	1.868209
D(MR)	1.203743	-0.91514	1.213141
	0.545592	1.488728	0.744049
D(XR)	0.11864	-0.14333	0.138667
	0.065766	0.179453	0.089688
D(CPI)	-1.33775	-1.86775	0.809844
	0.528098	1.440993	0.720192

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bluemaple 发表于 2008-4-8 11:49:00 |只看作者 |坛友微信交流群

第三部分：

4 Cointegrating Equation(s):		Log likelihood	255.6428

Normalized cointegrating coefficients (standard error in parentheses)
LNG	CR	ER	TR	MR	XR	CPI
1	0	0	0	-0.39471	4.069572	4.946682
				0.503338	2.322388	0.75654
0	1	0	0	-0.19274	-3.82473	-4.17584
				0.416462	1.921545	0.625961
0	0	1	0	-2.14796	7.064987	4.197031
				0.536276	2.474366	0.806048
0	0	0	1	-3.34881	27.6525	29.99376
				3.123224	14.41048	4.694348

Adjustment coefficients (standard error in parentheses)
D(LNG)	-0.29211	0.093909	-0.18566	0.089904
	0.100145	0.219459	0.108872	0.056114
D(CR)	0.107679	0.063232	-0.00756	-0.00973
	0.102005	0.223535	0.110894	0.057156
D(ER)	2.255706	1.557122	-1.09308	0.003445
	0.909036	1.992064	0.988252	0.509353
D(TR)	4.869146	-3.78828	0.46514	-1.35964
	1.617545	3.544695	1.758502	0.906347
D(MR)	1.913105	-0.59844	1.187049	-0.5825
	0.642987	1.409044	0.699018	0.36028
D(XR)	0.153926	-0.12758	0.137369	-0.06349
	0.081685	0.179005	0.088803	0.04577
D(CPI)	-0.2716	-1.39177	0.77063	-0.32108
	0.560713	1.228749	0.609575	0.31418


5 Cointegrating Equation(s):		Log likelihood	262.9961

Normalized cointegrating coefficients (standard error in parentheses)
LNG	CR	ER	TR	MR	XR	CPI
1	0	0	0	0	-3.32836	-0.58884
					0.353017	0.144241
0	1	0	0	0	-7.43716	-6.87884
					2.487673	1.01645
0	0	1	0	0	-33.1939	-25.9268
					9.2502	3.779582
0	0	0	1	0	-35.1137	-16.9712
					6.265395	2.560007
0	0	0	0	1	-18.7428	-14.0244
					5.099466	2.083614

Adjustment coefficients (standard error in parentheses)
D(LNG)	-0.43255	0.144257	-0.13411	0.064981	0.110212
	0.114402	0.204008	0.103495	0.053159	0.0607
D(CR)	0.235706	0.017335	-0.05455	0.012987	0.071351
	0.118524	0.211358	0.107224	0.055074	0.062887
D(ER)	3.132184	1.242908	-1.41479	0.158986	1.67451
	1.084955	1.93475	0.981516	0.504144	0.575661
D(TR)	5.665697	-4.07384	0.172769	-1.21829	2.842742
	1.983511	3.537105	1.794404	0.921674	1.052422
D(MR)	2.863081	-0.939	0.838364	-0.41392	-0.66589
	0.727479	1.29728	0.658121	0.338036	0.385989
D(XR)	0.299946	-0.17993	0.083773	-0.03758	-0.03053
	0.088105	0.157114	0.079705	0.04094	0.046747
D(CPI)	-0.69313	-1.24065	0.925348	-0.39589	-0.45881
	0.679019	1.210864	0.614282	0.315519	0.360277


6 Cointegrating Equation(s):		Log likelihood	264.9802

Normalized cointegrating coefficients (standard error in parentheses)
LNG	CR	ER	TR	MR	XR	CPI
1	0	0	0	0	0	2.20761
						0.286535
0	1	0	0	0	0	-0.63022
						0.216739
0	0	1	0	0	0	1.962345
						0.95668
0	0	0	1	0	0	12.5309
						1.912341
0	0	0	0	1	0	1.72314
						0.540737
0	0	0	0	0	1	0.840189
						0.10128

Adjustment coefficients (standard error in parentheses)
D(LNG)	-0.4464	0.120539	-0.13561	0.065654	0.10703	0.487434
	0.121072	0.214971	0.103345	0.053071	0.061266	0.497959
D(CR)	0.181735	-0.07511	-0.06039	0.015609	0.058947	-0.8322
	0.121495	0.215721	0.103706	0.053256	0.061479	0.499697
D(ER)	3.445769	1.780038	-1.38085	0.143751	1.746585	-10.0453
	1.135455	2.016064	0.969204	0.497715	0.574568	4.67001
D(TR)	6.358953	-2.88638	0.247796	-1.25197	3.002081	-5.61766
	2.062644	3.662341	1.760637	0.904139	1.043748	8.483447
D(MR)	2.962146	-0.76932	0.849085	-0.41873	-0.64312	-3.47688
	0.769413	1.366137	0.656758	0.337265	0.389342	3.16452
D(XR)	0.315341	-0.15356	0.085439	-0.03833	-0.027	-0.56724
	0.093004	0.165135	0.079387	0.040768	0.047063	0.382518
D(CPI)	-0.63009	-1.13269	0.93217	-0.39895	-0.44433	3.243919
	0.719304	1.277166	0.613986	0.3153	0.363986	2.958427