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雷达卡
Date: 05/21/16 Time: 22:07
Sample (adjusted): 2010M04 2015M12
Included observations: 69 after adjustments
Trend assumption: Linear deterministic trend
Series: LNREER LNIM LNEX LNCPI
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 * 0.403481 61.83356 47.85613 0.0014
At most 1 0.200102 26.18508 29.79707 0.1233
At most 2 0.098147 10.77936 15.49471 0.2254
At most 3 0.051543 3.651394 3.841466 0.0560
Trace 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 Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.403481 35.64849 27.58434 0.0037
At most 1 0.200102 15.40571 21.13162 0.2615
At most 2 0.098147 7.127971 14.26460 0.4741
At most 3 0.051543 3.651394 3.841466 0.0560
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):
LNREER LNIM LNEX LNCPI
-14.16638 -0.972212 -0.048477 402.7034
0.230218 -2.278026 0.436321 -156.8421
-7.112458 -4.090486 3.779709 17.98532
43.43150 -4.542598 4.688649 3.441108
Unrestricted Adjustment Coefficients (alpha):
D(LNREER) -0.000909 0.000369 0.000955 -0.000754
D(LNIM) 0.065045 0.290361 0.007370 0.012137
D(LNEX) 0.048388 0.292807 -0.009490 0.000870
D(LNCPI) -0.002661 -0.000491 -0.000131 -2.27E-05
1 Cointegrating Equation(s): Log likelihood 589.3060
Normalized cointegrating coefficients (standard error in parentheses)
LNREER LNIM LNEX LNCPI
1.000000 0.068628 0.003422 -28.42669
(0.06348) (0.05207) (4.63158)
Adjustment coefficients (standard error in parentheses)
D(LNREER) 0.012878
(0.00870)
D(LNIM) -0.921452
(1.21080)
D(LNEX) -0.685483
(1.21340)
D(LNCPI) 0.037700
(0.00635)
2 Cointegrating Equation(s): Log likelihood 597.0088
Normalized cointegrating coefficients (standard error in parentheses)
LNREER LNIM LNEX LNCPI
1.000000 0.000000 0.016453 -32.92340
(0.02186) (5.47064)
0.000000 1.000000 -0.189872 65.52276
(0.18301) (45.7927)
Adjustment coefficients (standard error in parentheses)
D(LNREER) 0.012963 4.42E-05
(0.00867) (0.00152)
D(LNIM) -0.854606 -0.724688
(1.08608) (0.18986)
D(LNEX) -0.618074 -0.714066
(1.08675) (0.18998)
D(LNCPI) 0.037587 0.003705
(0.00629) (0.00110)
3 Cointegrating Equation(s): Log likelihood 600.5728
Normalized cointegrating coefficients (standard error in parentheses)
LNREER LNIM LNEX LNCPI
1.000000 0.000000 0.000000 -33.19675
(5.91818)
0.000000 1.000000 0.000000 68.67744
(56.5002)
0.000000 0.000000 1.000000 16.61475
(73.9892)
Adjustment coefficients (standard error in parentheses)
D(LNREER) 0.006170 -0.003863 0.003815
(0.00950) (0.00287) (0.00228)
D(LNIM) -0.907023 -0.754834 0.151393
(1.21515) (0.36653) (0.29166)
D(LNEX) -0.550578 -0.675248 0.089544
(1.21584) (0.36674) (0.29183)
D(LNCPI) 0.038520 0.004241 -0.000581
(0.00703) (0.00212) (0.00169)
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