[讨论]误差修正模型的表达形式

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在建立误差修正模型时，在什麽情况下包含截距项？什么情况下不包括？再有就是是否包括滞后项，其滞后长度的选择标准什么？

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关键词：误差修正模型 误差修正 选择标准 截距项 滞后项 讨论 模型 形式 误差 表达

截距（intercepts）的确定，是否含有截距项，决定办法与协整检验是一样的。

1. Series y have no deterministic trends and the cointegrating equations do not have intercepts:

2. Series y have no deterministic trends and the cointegrating equations have intercepts:

3. Series y have linear trends but the cointegrating equations have only intercepts:

4. Both series y and the cointegrating equations have linear trends:

5. Series y have quadratic trends and the cointegrating equations have linear trends:

 the specification of the exogenous intercepts and trends should be chosen from the five models discussed above. This choice should be the same as in the cointegration test.

滞后阶数的确定：

It is important to note that the lag specification that EViews prompts you to enter refers to lags of the first difference terms in the VEC.

To estimate the VEC, click OK. Estimation of a VEC model proceeds by first determining one or more cointegrating equations using the Johansen procedure. The first difference of each endogenous variable is then regressed on a one period lag of the cointegrating equation(s) and lagged first differences of all of the endogenous variables in the system.

以下是引用nlm0402在2009-2-16 21:23:00的发言：

截距（intercepts）的确定，是否含有截距项，决定办法与协整检验是一样的。

1. Series y have no deterministic trends and the cointegrating equations do not have intercepts:

2. Series y have no deterministic trends and the cointegrating equations have intercepts:

3. Series y have linear trends but the cointegrating equations have only intercepts:

4. Both series y and the cointegrating equations have linear trends:

5. Series y have quadratic trends and the cointegrating equations have linear trends:

 the specification of the exogenous intercepts and trends should be chosen from the five models discussed above. This choice should be the same as in the cointegration test.

滞后阶数的确定：

It is important to note that the lag specification that EViews prompts you to enter refers to lags of the first difference terms in the VEC.

To estimate the VEC, click OK. Estimation of a VEC model proceeds by first determining one or more cointegrating equations using the Johansen procedure. The first difference of each endogenous variable is then regressed on a one period lag of the cointegrating equation(s) and lagged first differences of all of the endogenous variables in the system.

由于本人英语太差，恳请您能用中文说明，我将十分感激！