我的方程架构是这样:
LN Water t = α LN FDI t+ b1 + ε t
LN Solid t = γ LN FDI t + b3 + ε t
求大神帮我列出所得到的方程Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.747573 16.51960 25.82321 0.4989
At most 1 0.646117 12.46547 19.38704 0.3731
At most 2 0.329966 4.805128 12.51798 0.6245
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):
LN_FDI LN_SOLID LN_WATER @TREND(2)
12.78600 25.26337 -0.345784 -5.383077
19.60786 -0.100641 -0.227409 -4.173100
2.671666 3.649309 -8.436802 -0.817255
Unrestricted Adjustment Coefficients (alpha):
D(LN_FDI) 0.017266 -0.040813 -0.038665
D(LN_SOLID) -0.083737 -0.006756 0.020680
D(LN_WATER) 0.085036 -0.134287 0.064887
1 Cointegrating Equation(s): Log likelihood 33.15961
Normalized cointegrating coefficients (standard error in parentheses)
LN_FDI LN_SOLID LN_WATER @TREND(2)
1.000000 1.975861 -0.027044 -0.421013
(0.37921) (0.22362) (0.03844)
Adjustment coefficients (standard error in parentheses)
D(LN_FDI) 0.220757
(0.41033)
D(LN_SOLID) -1.070664
(0.29532)
D(LN_WATER) 1.087268
(1.00342)
2 Cointegrating Equation(s): Log likelihood 39.39235
Normalized cointegrating coefficients (standard error in parentheses)
LN_FDI LN_SOLID LN_WATER @TREND(2)
1.000000 0.000000 -0.011638 -0.213367
(0.18373) (0.00619)
0.000000 1.000000 -0.007797 -0.105091
(0.14554) (0.00491)
Adjustment coefficients (standard error in parentheses)
D(LN_FDI) -0.579499 0.440293
(0.65876) (0.71097)
D(LN_SOLID) -1.203144 -2.114805
(0.53735) (0.57994)
D(LN_WATER) -1.545819 2.161806
(1.40111) (1.51216)