帮忙看一下建的VAR模型怎么写出标准式吗，常数项在哪看呢？ [推广有奖]

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嗡大瓶。 发表于 2015-5-4 15:32:10 |AI写论文

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Date: 05/04/15 Time: 12:50
Sample (adjusted): 1994 2013
Included observations: 20 after adjustments
Trend assumption: Linear deterministic trend
Series: LNY LNX1 LNX2 LNX3
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 *    0.936457    134.8779    47.85613    0.0000
At most 1 *    0.882918    79.75705    29.79707    0.0000
At most 2 *    0.717742    36.85937    15.49471    0.0000
At most 3 *    0.439000    11.56068    3.841466    0.0007

Trace test indicates 4 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 *    0.936457    55.12085    27.58434    0.0000
At most 1 *    0.882918    42.89767    21.13162    0.0000
At most 2 *    0.717742    25.29869    14.26460    0.0006
At most 3 *    0.439000    11.56068    3.841466    0.0007

Max-eigenvalue test indicates 4 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):

LNY LNX1 LNX2 LNX3
-25.75089 -3.751776    35.58520    4.038372
2.785985    5.596671 -38.95409    5.976931
29.90738 -1.663514    14.84602 -4.685181
-13.83319 -0.927744    9.540318 -2.082763

Unrestricted Adjustment Coefficients (alpha):

D(LNY)    0.012062 -0.001067 -0.016061    0.013703
D(LNX1) -0.002166 -0.125168    0.001734 -0.097727
D(LNX2) -0.011048 -0.006625    0.001630    0.000530
D(LNX3)    0.021064 -0.066075    0.096757    0.127404

1 Cointegrating Equation(s): Log likelihood    139.2499

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNX1 LNX2 LNX3
1.000000    0.145695 -1.381902 -0.156825
   (0.02165)    (0.16945)    (0.02391)

Adjustment coefficients (standard error in parentheses)
D(LNY) -0.310598
   (0.23008)
D(LNX1)    0.055766
   (1.61851)
D(LNX2)    0.284493
   (0.06429)
D(LNX3) -0.542419
   (1.90961)

2 Cointegrating Equation(s): Log likelihood    160.6987

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNX1 LNX2 LNX3
1.000000    0.000000 -0.396595 -0.336849
   (0.03713)    (0.02443)
0.000000    1.000000 -6.762803    1.235625
   (0.17480)    (0.11499)

Adjustment coefficients (standard error in parentheses)
D(LNY) -0.313570 -0.051223
   (0.23126)    (0.06016)
D(LNX1) -0.292951 -0.692402
   (1.26458)    (0.32896)
D(LNX2)    0.266037    0.004372
   (0.03517)    (0.00915)
D(LNX3) -0.726505 -0.448830
   (1.84293)    (0.47941)

3 Cointegrating Equation(s): Log likelihood    173.3481

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNX1 LNX2 LNX3
1.000000    0.000000    0.000000 -0.145838
   (0.02159)
0.000000    1.000000    0.000000    4.492772
   (0.53658)
0.000000    0.000000    1.000000    0.481627
   (0.07102)

Adjustment coefficients (standard error in parentheses)
D(LNY) -0.793914 -0.024505    0.232326
   (0.29052)    (0.05096)    (0.40248)
D(LNX1) -0.241096 -0.695286    4.824502
   (1.93153)    (0.33882)    (2.67584)
D(LNX2)    0.314773    0.001662 -0.110886
   (0.04971)    (0.00872)    (0.06887)
D(LNX3)    2.167244 -0.609787    4.759934
   (2.54151)    (0.44582)    (3.52087)