谢谢哦,那请问View下面的lag structure里有一个AR root table,结果如下,说有三个单位跟,是不是说明模型不稳定啊!
还有就是那个脉冲响应长期也不归于0,累计响应是发散的,这种情况合理吗,谢谢赐教!!
Roots of Characteristic Polynomial
Endogenous variables: SCFI RR FIR NDF
Exogenous variables: POLICY
Lag specification: 1 2
Date: 08/09/08 Time: 20:28
Root Modulus
1.000000 1.000000
1.000000 1.000000
1.000000 1.000000
0.015778 - 0.914519i 0.914655
0.015778 + 0.914519i 0.914655
-0.899100 0.899100
-0.509114 - 0.466541i 0.690549
-0.509114 + 0.466541i 0.690549
-0.183042 - 0.561637i 0.590711
-0.183042 + 0.561637i 0.590711
0.369893 - 0.143871i 0.396888
0.369893 + 0.143871i 0.396888
VEC specification imposes 3 unit root(s).