[问答] [求助]关于协整 [推广有奖]

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renlm78 发表于 2008-5-8 17:23:00 |只看作者 |坛友微信交流群|倒序 |AI写论文

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协整分析中的滞后期到底怎么确定啊,我做的协整结果中没有AIC或SC啊,VIEW----COINTEGRATION TEST

结果如下:(只能确定有两个协积关系),没有AIC/SC

Date: 05/08/08   Time: 16:34
Sample: 2000:01 2008:01
Included observations: 94
Test assumption: Linear deterministic trend in the data
Series: LSHZZ LCPI LHUILSA LM2 LJINCHUSA LPPI
Lags interval: 1 to 2

Likelihood 5 Percent 1 Percent Hypothesized
Eigenvalue Ratio Critical Value Critical Value No. of CE(s)

0.348571 110.6656 94.15 103.18       None **
0.265898 70.37844 68.52 76.07    At most 1 *
0.220851 41.32230 47.21 54.46    At most 2
0.118577 17.86428 29.68 35.65    At most 3
0.060318 5.999863 15.41 20.04    At most 4
0.001614 0.151792   3.76   6.65    At most 5

*(**) denotes rejection of the hypothesis at 5%(1%) significance level
L.R. test indicates 2 cointegrating equation(s) at 5% significance level

Unnormalized Cointegrating Coefficients:

LSHZZ LCPI LHUILSA LM2 LJINCHUSA LPPI
-0.029381 -10.11658 -8.114369 0.647068 -0.397683 2.495355
0.988192 -0.709694 18.85240 -2.236245 2.188124 -2.291504
0.623398 -5.346231 12.81682 0.068818 0.259182 1.275760
-0.367468 -3.022628 -8.310338 -2.810821 1.606994 0.356032
0.036508 -0.814186 5.232419 -0.170171 0.435044 0.154512
-0.680419 5.284470 -16.85317 0.006907 -0.658337 2.207058


Normalized Cointegrating Coefficients: 1 Cointegrating Equation(s)

LSHZZ LCPI LHUILSA LM2 LJINCHUSA LPPI C
1.000000 344.3184 276.1731 -22.02302 13.53517 -84.92959 -1627.130
(2338.62) (1716.30) (145.189) (84.2872) (560.803)

Log likelihood 1739.109


Normalized Cointegrating Coefficients: 2 Cointegrating Equation(s)

LSHZZ LCPI LHUILSA LM2 LJINCHUSA LPPI C
1.000000 0.000000 19.61280 -2.304095 2.237834 -2.490835 -27.64856
   (1.76724) (0.72957) (0.48840) (0.46535)
0.000000 1.000000 0.745125 -0.057269 0.032811 -0.239426 -4.645357
   (0.14188) (0.05857) (0.03921) (0.03736)

Log likelihood 1753.637


Normalized Cointegrating Coefficients: 3 Cointegrating Equation(s)

LSHZZ LCPI LHUILSA LM2 LJINCHUSA LPPI C
1.000000 0.000000 0.000000 -7.445475 6.356329 -9.130900 72.74744
    (4.84269) (3.54158) (5.35287)
0.000000 1.000000 0.000000 -0.252600 0.189280 -0.491694 -0.831135
    (0.16081) (0.11760) (0.17775)
0.000000 0.000000 1.000000 0.262144 -0.209990 0.338558 -5.118901
    (0.22651) (0.16565) (0.25037)

Log likelihood 1765.366


Normalized Cointegrating Coefficients: 4 Cointegrating Equation(s)

LSHZZ LCPI LHUILSA LM2 LJINCHUSA LPPI C
1.000000 0.000000 0.000000 0.000000 1.365219 -6.118044 9.374396
     (0.66609) (4.47439)
0.000000 1.000000 0.000000 0.000000 0.019948 -0.389478 -2.981166
     (0.02198) (0.14763)
0.000000 0.000000 1.000000 0.000000 -0.034261 0.232480 -2.887631
     (0.03086) (0.20730)
0.000000 0.000000 0.000000 1.000000 -0.670355 0.404656 -8.511618
     (0.04507) (0.30276)

Log likelihood 1771.298


Normalized Cointegrating Coefficients: 5 Cointegrating Equation(s)

LSHZZ LCPI LHUILSA LM2 LJINCHUSA LPPI C
1.000000 0.000000 0.000000 0.000000 0.000000 -2.938408 6.170127
      (3.82966)
0.000000 1.000000 0.000000 0.000000 0.000000 -0.343018 -3.027986
      (0.09507)
0.000000 0.000000 1.000000 0.000000 0.000000 0.152686 -2.807219
      (0.13314)
0.000000 0.000000 0.000000 1.000000 0.000000 -1.156621 -6.938246
      (2.13936)
0.000000 0.000000 0.000000 0.000000 1.000000 -2.329031 2.347074
      (3.14387)

Log likelihood 1774.222