如何写协整方程？

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Date: 11/29/08   Time: 19:12     
Sample (adjusted): 1981 2006     
Included observations: 26 after adjustments     
Trend assumption: Linear deterministic trend     
Series: LNGDP LNJJJS LNSHWJ LNGF LNXZGL      
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 *  0.976183  199.6543  69.81889  0.0000 
At most 1 *  0.857997  102.4830  47.85613  0.0000 
At most 2 *  0.711769  51.73353  29.79707  0.0000 
At most 3 *  0.488317  19.38970  15.49471  0.0123 
At most 4  0.072914  1.968424  3.841466  0.1606 
     
 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 *  0.976183  97.17132  33.87687  0.0000 
At most 1 *  0.857997  50.74950  27.58434  0.0000 
At most 2 *  0.711769  32.34383  21.13162  0.0009 
At most 3 *  0.488317  17.42128  14.26460  0.0153 
At most 4  0.072914  1.968424  3.841466  0.1606 
     
 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):      
     
LNGDP LNJJJS LNSHWJ LNGF LNXZGL 
 1.911587  32.07667 -62.75749  0.948087  31.41322 
 8.234776  7.395932 -45.87457  1.561903  27.78088 
 2.663511  4.740976  31.42014  2.743177 -34.35541 
 1.129951  16.84551 -20.50149 -11.18174  14.59898 
 5.966198  1.904831 -16.15686 -3.253254  9.193257 
     
     
 Unrestricted Adjustment Coefficients (alpha):      
     
D(LNGDP) -0.012428 -0.012622 -0.018925 -0.011318  0.001787
D(LNJJJS) -0.029957  0.019334  0.000200 -0.021015 -0.002097
D(LNSHWJ) -0.016080  0.017425  0.004584 -0.004878  0.003675
D(LNGF) -0.034363  0.021594 -0.008112  0.008134  0.000270
D(LNXZGL) -0.029109 -0.008923  0.030142  0.017142  0.001772
     
     
1 Cointegrating Equation(s):   Log likelihood  302.8731  
     
Normalized cointegrating coefficients (standard error in parentheses)     
LNGDP LNJJJS LNSHWJ LNGF LNXZGL 
 1.000000  16.78012 -32.83004  0.495968  16.43306 
  (0.74280)  (1.58156)  (0.26351)  (1.11594) 
     
Adjustment coefficients (standard error in parentheses)     
D(LNGDP) -0.023757    
  (0.01615)    
D(LNJJJS) -0.057266    
  (0.01927)    
D(LNSHWJ) -0.030738    
  (0.01276)    
D(LNGF) -0.065688    
  (0.01446)    
D(LNXZGL) -0.055645    
  (0.02305)    
     
     
上面是协整检验结果，但是不知道怎么写协整方程，是不是把标准化的协整方程写上就行了，LNGDP =16.7LNJJJS-32.83LNSHWJ+0.49LNGF+16.4LNXZGL ？是不是这样写呢？谢谢大家！

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：协整方程 如何写 unrestricted coefficients observations 方程

我也不是很清楚 不过你上面的也写错了

LNGDP =-16.7LNJJJS+32.83LNSHWJ-0.49LNGF-16.4LNXZGL

其实的检验说明存在四组协整关系