[问答] 协整检验如何显示第三个协整方程 [推广有奖]

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发表于 2014-9-5 00:02:25 |AI写论文

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RT,三个变量做了协整检验，显示如下：
Unrestricted Cointegration Rank Test (Trace)

Hypothesized             Trace       0.05
No. of CE(s)       Eigenvalue       Statistic       Critical Value       Prob.**

None *       0.958643       59.34968       29.79707       0.0000
At most 1 *       0.851015       27.49466       15.49471       0.0005
At most 2 *       0.570682       8.455563       3.841466       0.0036

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

但往后看
1 Cointegrating Equation(s): Log likelihood    59.18681

Normalized cointegrating coefficients (standard error in parentheses)
Z X1 Y1
1.000000    0.444895 -1.816789
   (0.27785)    (0.25046)

Adjustment coefficients (standard error in parentheses)
D(Z) -0.764092
   (0.47446)
D(X1) -0.045326
   (0.19499)
D(Y1)    0.026498
   (0.23969)

2 Cointegrating Equation(s): Log likelihood    68.70636

Normalized cointegrating coefficients (standard error in parentheses)
Z X1 Y1
1.000000    0.000000 -0.974674
   (0.05378)
0.000000    1.000000 -1.892839
   (0.13605)

Adjustment coefficients (standard error in parentheses)
D(Z) -2.057188    0.010920
   (0.43354)    (0.14666)
D(X1)    0.096264 -0.058584
   (0.33145)    (0.11212)
D(Y1) -0.528073    0.162262
   (0.28889)    (0.09772)

只有两个么？可以看第三个咩？另外，为啥我这个里面没有c呢？