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[问答] johansen协整检验怎么分析结果!! [推广有奖]

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楼主
xiaodizi1024 发表于 2015-6-27 22:10:29 |AI写论文

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Date: 06/27/15   Time: 21:43     
Sample (adjusted): 1995 2013     
Included observations: 19 after adjustments     
Trend assumption: No deterministic trend (restricted constant)     
Series: X1 X2 X3 X4 Y      
Lags interval (in first differences): 1 to 1     
     
Unrestricted Cointegration Rank Test (Trace)     
     
Hypothesized  Trace 0.05  
No. of CE(s) Eigenvalue Statistic    Critical Value   Prob.**
None *          0.943770  149.9993  76.97277  0.0000
At most 1 *  0.920479  95.31141  54.07904  0.0000
At most 2 *  0.705452  47.20835  35.19275  0.0016
At most 3 *  0.527373  23.98438  20.26184  0.0147
At most 4 *  0.401236  9.744868  9.164546  0.0388
     
Trace test indicates 5 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    CriticalValue   Prob.**
None *         0.943770  54.68784   34.80587   0.0001
At most 1 *  0.920479  48.10306   28.58808   0.0001
At most 2 *  0.705452  23.22397   22.29962   0.0371
At most 3      0.527373  14.23951   15.89210  0.0893
At most 4 *    0.401236  9.744868  9.164546  0.0388
     
Max-eigenvalue 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     
     
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关键词:johansen协整检验 johansen协整 Johansen johans Hansen restricted adjusted Series

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linxiaoling 发表于5楼  查看完整内容

Hypothesized Trace 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.943770 149.9993 76.97277 0.0000 At most 1 * 0.920479 95.31141 54.07904 0.0000 At most 2 * 0.705452 47.20835 35.19275 0.0016 At most 3 * 0.527373 23.98438 20.26184 0.0147 At most 4 * 0.401236 9.744868 9.164546 0.0388 Trace test indicates 5 cointegrating e ...

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沙发
xiaodizi1024 发表于 2015-6-27 22:14:31
如果协整模型通过了 是不是也可以不用写协整方程 直接建立模型

藤椅
xiaodizi1024 发表于 2015-6-27 22:15:11
eviews6.0中协整性检验怎么选择滞后期啊···

板凳
xiaodizi1024 发表于 2015-6-27 22:15:51
万能的大神 快粗来 求指导

报纸
linxiaoling 发表于 2015-6-27 22:54:19
Hypothesized  Trace 0.05  
No. of CE(s) Eigenvalue Statistic    Critical Value   Prob.**
None *          0.943770  149.9993  76.97277  0.0000
At most 1 *  0.920479  95.31141  54.07904  0.0000
At most 2 *  0.705452  47.20835  35.19275  0.0016
At most 3 *  0.527373  23.98438  20.26184  0.0147
At most 4 *  0.401236  9.744868  9.164546  0.0388
     
Trace test indicates 5 cointegrating eqn(s) at the 0.05 level     
* denotes rejection of the hypothesis at the 0.05 level     
**MacKinnon-Haug-Michelis (1999) p-values     
本文来自: 人大经济论坛 EViews专版 版,详细出处参考: https://bbs.pinggu.org/forum.php?mod=viewthread&tid=3776300&page=1&from^^uid=2301459
这个指在显著性水平为0.05下存在5个协整方程。
Date: 06/27/15   Time: 21:43     
Sample (adjusted): 1995 2013     
Included observations: 19 after adjustments     
Trend assumption: No deterministic trend (restricted constant)     
Series: X1 X2 X3 X4 Y      
Lags interval (in first differences): 1 to 1     
     
Unrestricted Cointegration Rank Test (Trace)     
     
Hypothesized  Trace 0.05  
No. of CE(s) Eigenvalue Statistic    Critical Value   Prob.**
None *          0.943770  149.9993  76.97277  0.0000
At most 1 *  0.920479  95.31141  54.07904  0.0000
At most 2 *  0.705452  47.20835  35.19275  0.0016
At most 3 *  0.527373  23.98438  20.26184  0.0147
At most 4 *  0.401236  9.744868  9.164546  0.0388
     
Trace test indicates 5 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    CriticalValue   Prob.**
None *         0.943770  54.68784   34.80587   0.0001
At most 1 *  0.920479  48.10306   28.58808   0.0001
At most 2 *  0.705452  23.22397   22.29962   0.0371
At most 3      0.527373  14.23951   15.89210  0.0893
At most 4 *    0.401236  9.744868  9.164546  0.0388
     
Max-eigenvalue 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     


本文来自: 人大经济论坛 EViews专版 版,详细出处参考: https://bbs.pinggu.org/forum.php?mod=viewthread&tid=3776300&page=1&from^^uid=2301459
这个指在显著性水平为0.05下存在三个协整方程
存在协整方程说明所建模型变量存在长期相关性。
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地板
xiaodizi1024 发表于 2015-6-28 09:44:41
急呀 大神  快来

7
xiaodizi1024 发表于 2015-6-28 10:13:38
如果是一阶差分平稳的,做回归的时候是按原序列做回归还是··

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