[问答] 能否帮我看下协整检验的结果~~谢谢 [推广有奖]

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haowan 发表于 2014-12-3 14:52:48 |AI写论文

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Date: 12/03/14 Time: 14:45
Sample (adjusted): 2005M04 2012M12
Included observations: 93 after adjustments
Trend assumption: Linear deterministic trend
Series: LDCJ LDSL LHJ LJD
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 *    0.199430    52.73368    47.85613    0.0162
At most 1 *    0.185130    32.04757    29.79707    0.0271
At most 2    0.126962    13.00797    15.49471    0.1145
At most 3    0.004086    0.380795    3.841466    0.5372

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    0.199430    20.68611    27.58434    0.2956
At most 1    0.185130    19.03960    21.13162    0.0957
At most 2    0.126962    12.62717    14.26460    0.0893
At most 3    0.004086    0.380795    3.841466    0.5372

Max-eigenvalue test indicates no cointegration 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):

LDCJ LDSL LHJ LJD
-1.064572    17.35153 -28.59959    15.95989
-25.08338 -20.29911    31.48035    6.729976
-4.774680    6.285472    11.96920 -16.86191
2.059573 -3.206208 -4.011768 -0.582118

Unrestricted Adjustment Coefficients (alpha):

D(LDCJ)    0.002325    0.013779    0.005225    0.001041
D(LDSL) -0.003801 -0.000415 -0.000644    0.000403
D(LHJ)    0.005227    0.001696    0.000710    0.001457
D(LJD)    0.001107 -0.000463    0.011112    0.001564

1 Cointegrating Equation(s): Log likelihood    892.3622

Normalized cointegrating coefficients (standard error in parentheses)
LDCJ LDSL LHJ LJD
1.000000 -16.29907    26.86488 -14.99184
   (4.37856)    (6.31308)    (4.92089)

Adjustment coefficients (standard error in parentheses)
D(LDCJ) -0.002475
   (0.00457)
D(LDSL)    0.004046
   (0.00118)
D(LHJ) -0.005564
   (0.00298)
D(LJD) -0.001179
   (0.00464)

2 Cointegrating Equation(s): Log likelihood    901.8820

Normalized cointegrating coefficients (standard error in parentheses)
LDCJ LDSL LHJ LJD
1.000000    0.000000    0.075112 -0.964763
   (0.27076)    (0.30492)
0.000000    1.000000 -1.643638    0.860606
   (0.24954)    (0.28103)

Adjustment coefficients (standard error in parentheses)
D(LDCJ) -0.348089 -0.239353
   (0.10079)    (0.10721)
D(LDSL)    0.014467 -0.057514
   (0.02780)    (0.02957)
D(LHJ) -0.048115    0.056258
   (0.07002)    (0.07448)
D(LJD)    0.010439    0.028617
   (0.10943)    (0.11640)

3 Cointegrating Equation(s): Log likelihood    908.1956

Normalized cointegrating coefficients (standard error in parentheses)
LDCJ LDSL LHJ LJD
1.000000    0.000000    0.000000 -0.875666
   (0.08278)
0.000000    1.000000    0.000000 -1.089056
   (0.13866)
0.000000    0.000000    1.000000 -1.186187
   (0.09021)

Adjustment coefficients (standard error in parentheses)
D(LDCJ) -0.373039 -0.206509    0.429809
   (0.10155)    (0.10901)    (0.17556)
D(LDSL)    0.017544 -0.061565    0.087906
   (0.02824)    (0.03031)    (0.04882)
D(LHJ) -0.051506    0.060722 -0.087583
   (0.07125)    (0.07649)    (0.12318)
D(LJD) -0.042619    0.098465    0.086755
   (0.10694)    (0.11480)    (0.18489)