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懒洋洋1993 发表于 2016-3-19 21:01:15 |只看作者 |坛友微信交流群|倒序 |AI写论文

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我在做协整检验，结果如下，但我不懂的看检验结果是否存在协整关系，有谁可以帮忙解释下吗？？
Date: 03/19/16 Time: 20:41
Sample (adjusted): 2000M06 2014M12
Included observations: 175 after adjustments
Trend assumption: Linear deterministic trend
Series: Y G J L
Lags interval (in first differences): 1 to 4

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *    0.151444    60.51798    47.85613    0.0021
At most 1 *    0.084545    31.77952    29.79707    0.0292
At most 2 *    0.067258    16.32106    15.49471    0.0375
At most 3 *    0.023359    4.136384    3.841466    0.0420

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 *    0.151444    28.73846    27.58434    0.0354
At most 1    0.084545    15.45846    21.13162    0.2581
At most 2    0.067258    12.18468    14.26460    0.1039
At most 3 *    0.023359    4.136384    3.841466    0.0420

Max-eigenvalue test indicates 1 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):

Y G J L
0.104457 -0.010239    0.229511    1.98E-05
-0.066301 -0.004527 -0.439975 -2.95E-05
-0.010384 -0.012255    0.128284    5.21E-05
0.000868 -0.000634    0.010949    2.07E-05

Unrestricted Adjustment Coefficients (alpha):

D(Y) -1.532653    0.559902    0.463364    0.028365
D(G)    7.286920    1.516261    6.132526    0.097804
D(J)    0.255325    0.200835 -0.142389 -0.036230
D(L) -140.1850 -47.87414    118.1395 -363.6008

1 Cointegrating Equation(s): Log likelihood -3215.082

Normalized cointegrating coefficients (standard error in parentheses)
Y G J L
1.000000 -0.098019    2.197186    0.000190
   (0.02855)    (0.53839)    (0.00011)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.160096
   (0.03737)
D(G)    0.761169
   (0.24790)
D(J)    0.026670
   (0.00913)
D(L) -14.64328
   (20.4278)

2 Cointegrating Equation(s): Log likelihood -3207.353

Normalized cointegrating coefficients (standard error in parentheses)
Y G J L
1.000000    0.000000    4.813441    0.000341
   (0.72849)    (0.00012)
0.000000    1.000000    26.69141    0.001537
   (7.78581)    (0.00125)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.197218    0.013158
   (0.04392)    (0.00397)
D(G)    0.660639 -0.081473
   (0.29324)    (0.02653)
D(J)    0.013355 -0.003523
   (0.01063)    (0.00096)
D(L) -11.46918    1.652053
   (24.1906)    (2.18889)

3 Cointegrating Equation(s): Log likelihood -3201.261

Normalized cointegrating coefficients (standard error in parentheses)
Y G J L
1.000000    0.000000    0.000000 -0.000368
   (6.2E-05)
0.000000    1.000000    0.000000 -0.002395
   (0.00032)
0.000000    0.000000    1.000000    0.000147
   (1.6E-05)

Adjustment coefficients (standard error in parentheses)
D(Y) -0.202030    0.007479 -0.538662
   (0.04383)    (0.00586)    (0.18095)
D(G)    0.596958 -0.156630    1.792018
   (0.28793)    (0.03849)    (1.18866)
D(J)    0.014833 -0.001778 -0.048029
   (0.01058)    (0.00141)    (0.04366)
D(L) -12.69597    0.204202    4.044826
   (24.2475)    (3.24172)    (100.100)