以下是johansen检验结果,可以看出有至少存在两个协积向量,请问如何据此求出长期均衡方程啊
Date: 05/15/08 Time: 11:37
Sample (adjusted): 2000:05 2007:12
Included observations: 92 after adjustments
Trend assumption: Linear deterministic trend
Series: LNCON LNY LNNW LNSW
Lags interval (in first differences): 1 to 3
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.313700 74.97432 47.85613 0.0000
At most 1 * 0.307146 40.34183 29.79707 0.0021
At most 2 0.066434 6.583778 15.49471 0.6265
At most 3 0.002815 0.259382 3.841466 0.6105
Trace 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 Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.313700 34.63249 27.58434 0.0053
At most 1 * 0.307146 33.75805 21.13162 0.0005
At most 2 0.066434 6.324396 14.26460 0.5719
At most 3 0.002815 0.259382 3.841466 0.6105
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):
LNCON LNY LNNW LNSW
42.94225 -70.88197 26.63113 4.250296
-43.19783 17.50987 16.21206 3.018765
-0.860124 -18.05753 19.38959 0.392902
11.99917 15.70944 -19.24073 1.564908
Unrestricted Adjustment Coefficients (alpha):
D(LNCON) -0.010982 0.016138 0.004287 -0.001192
D(LNY) 0.010831 0.001594 0.004308 -0.001439
D(LNNW) -0.002772 -0.004052 0.000447 -0.000147
D(LNSW) -0.000541 -0.002281 0.014072 0.001527
1 Cointegrating Equation(s): Log likelihood 775.1170
Normalized cointegrating coefficients (standard error in parentheses)
LNCON LNY LNNW LNSW
1.000000 -1.650635 0.620161 0.098977
(0.19690) (0.16119) (0.02082)
Adjustment coefficients (standard error in parentheses)
D(LNCON) -0.471587
(0.21156)
D(LNY) 0.465098
(0.17395)
D(LNNW) -0.119041
(0.04376)
D(LNSW) -0.023237
(0.30080)
2 Cointegrating Equation(s): Log likelihood 791.9961
Normalized cointegrating coefficients (standard error in parentheses)
LNCON LNY LNNW LNSW
1.000000 0.000000 -0.699319 -0.124846
(0.02478) (0.02265)
0.000000 1.000000 -0.799378 -0.135598
(0.02053) (0.01877)
Adjustment coefficients (standard error in parentheses)
D(LNCON) -1.168712 1.060991
(0.27867) (0.33404)
D(LNY) 0.396251 -0.739801
(0.24649) (0.29547)
D(LNNW) 0.056013 0.125536
(0.05543) (0.06644)
D(LNSW) 0.075305 -0.001587
(0.42637) (0.51109)
3 Cointegrating Equation(s): Log likelihood 795.1583
Normalized cointegrating coefficients (standard error in parentheses)
LNCON LNY LNNW LNSW
1.000000 0.000000 0.000000 -0.472319
(0.29675)
0.000000 1.000000 0.000000 -0.532788
(0.33802)
0.000000 0.000000 1.000000 -0.496874
(0.41767)
Adjustment coefficients (standard error in parentheses)
D(LNCON) -1.172399 0.983584 0.052287
(0.27713) (0.34217) (0.16703)
D(LNY) 0.392546 -0.817586 0.397798
(0.24472) (0.30215) (0.14750)
D(LNNW) 0.055629 0.117460 -0.130850
(0.05535) (0.06834) (0.03336)
D(LNSW) 0.063201 -0.255700 0.221465
(0.41522) (0.51267) (0.25026)