我把结果发上来,麻烦给我分析一下
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
Y X1 X2 LIM VOL XN*X1 XN
-2.380911 -0.327346 6.362280 -0.399609 4063.324 -19.41976 88.00033
5.485567 11.27674 -22.43430 6.267251 476.6947 14.78420 -64.73811
2.800234 19.61966 -4.601036 -0.180901 1208.949 -14.26428 64.85822
-0.038478 17.67566 -9.161692 3.134561 -203.3508 8.287484 -34.68050
-6.940733 -14.76706 23.27956 -5.528194 266.7084 -8.249200 39.23784
10.99104 -2.198895 -20.66629 -1.972672 89.64903 12.58971 -56.84724
1.838078 3.515723 -5.578355 0.644451 -400.0524 -29.49594 136.6651
Unrestricted Adjustment Coefficients (alpha):
D(Y) -0.000522 -5.44E-05 -0.002875 -0.001342 -0.000181 -0.001984 0.000106
D(X1) -0.001465 0.000605 -0.001402 7.82E-05 0.001690 0.000773 -0.000447
D(X2) -0.000230 0.004435 -0.003348 -0.000887 -0.000501 0.001291 0.000271
D(LIM) 0.000809 -0.018016 0.002405 -0.017227 0.019736 0.008875 0.004184
D(VOL) -6.19E-05 -7.93E-06 -2.47E-06 -2.66E-07 -5.44E-06 1.45E-06 1.42E-06
D(XN*X1) -0.013522 -0.009885 0.008138 -0.081934 -0.028700 0.013915 -0.009464
D(XN) -0.002735 -0.002464 0.001616 -0.017952 -0.006506 0.003082 -0.002063
1 Cointegrating Equation(s): Log likelihood 4088.562
Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000 0.137488 -2.672204 0.167839 -1706.626 8.156441 -36.96077
(1.25251) (0.67047) (0.35841) (181.750) (1.76092) (8.03905)
Adjustment coefficients (standard error in parentheses)
D(Y) 0.001242
(0.00244)
D(X1) 0.003488
(0.00211)
D(X2) 0.000548
(0.00289)
D(LIM) -0.001927
(0.02400)
D(VOL) 0.000147
(1.6E-05)
D(XN*X1) 0.032194
(0.06187)
D(XN) 0.006513
(0.01359)
2 Cointegrating Equation(s): Log likelihood 4109.621
Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000 0.000000 -2.570606 0.097980 -1835.176 8.547879 -38.76405
(0.53495) (0.29257) (191.554) (1.86769) (8.51451)
0.000000 1.000000 -0.738961 0.508105 934.9928 -2.847078 13.11590
(0.31057) (0.16986) (111.210) (1.08432) (4.94323)
Adjustment coefficients (standard error in parentheses)
D(Y) 0.000944 -0.000442
(0.00612) (0.01155)
D(X1) 0.006806 0.007299
(0.00528) (0.00997)
D(X2) 0.024875 0.050084
(0.00697) (0.01314)
D(LIM) -0.100753 -0.203422
(0.05970) (0.11263)
D(VOL) 0.000104 -6.91E-05
(4.1E-05) (7.7E-05)
D(XN*X1) -0.022030 -0.107043
(0.15533) (0.29303)
D(XN) -0.007002 -0.026888
(0.03412) (0.06437)
3 Cointegrating Equation(s): Log likelihood 4124.078
Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000 0.000000 0.000000 -1.469475 -3639.047 11.20313 -51.38338
(0.23592) (427.603) (3.76411) (17.2718)
0.000000 1.000000 0.000000 0.057516 416.4419 -2.083784 9.488282
(0.02742) (49.6987) (0.43749) (2.00744)
0.000000 0.000000 1.000000 -0.609761 -701.7300 1.032929 -4.909089
(0.05951) (107.859) (0.94946) (4.35666)
Adjustment coefficients (standard error in parentheses)
D(Y) -0.007108 -0.056854 0.011130
(0.00660) (0.02261) (0.02374)
D(X1) 0.002880 -0.020210 -0.016438
(0.00579) (0.01985) (0.02084)
D(X2) 0.015499 -0.015611 -0.085548
(0.00750) (0.02570) (0.02699)
D(LIM) -0.094019 -0.156242 0.398253
(0.06591) (0.22591) (0.23726)
D(VOL) 9.69E-05 -0.000118 -0.000204
(4.5E-05) (0.00016) (0.00016)
D(XN*X1) 0.000759 0.052627 0.098287
(0.17146) (0.58769) (0.61720)
D(XN) -0.002477 0.004821 0.030433
(0.03767) (0.12910) (0.13559)
4 Cointegrating Equation(s): Log likelihood 4133.421
Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000 0.000000 0.000000 0.000000 2252.640 -11.73040 52.55994
(482.756) (4.32718) (19.9104)
0.000000 1.000000 0.000000 0.000000 185.8391 -1.186157 5.419902
(35.8690) (0.32151) (1.47935)
0.000000 0.000000 1.000000 0.000000 1743.035 -8.483380 38.22237
(241.257) (2.16251) (9.95021)
0.000000 0.000000 0.000000 1.000000 4009.382 -15.60662 70.73500
(500.008) (4.48183) (20.6219)
Adjustment coefficients (standard error in parentheses)
D(Y) -0.007056 -0.080581 0.023429 -0.003820
(0.00656) (0.02853) (0.02531) (0.00697)
D(X1) 0.002877 -0.018827 -0.017154 0.004875
(0.00579) (0.02518) (0.02234) (0.00616)
D(X2) 0.015533 -0.031294 -0.077420 0.025710
(0.00748) (0.03254) (0.02887) (0.00796)
D(LIM) -0.093356 -0.460745 0.556084 -0.167667
(0.06532) (0.28406) (0.25198) (0.06945)
D(VOL) 9.69E-05 -0.000122 -0.000202 -2.53E-05
(4.5E-05) (0.00020) (0.00017) (4.8E-05)
D(XN*X1) 0.003912 -1.395604 0.848937 -0.314846
(0.16625) (0.72298) (0.64132) (0.17677)
D(XN) -0.001786 -0.312499 0.194907 -0.070913
(0.03653) (0.15885) (0.14091) (0.03884)
5 Cointegrating Equation(s): Log likelihood 4140.605
Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000 0.000000 0.000000 0.000000 0.000000 -50.60680 194.2165
(102.875) (473.350)
0.000000 1.000000 0.000000 0.000000 0.000000 -4.393397 17.10634
(8.57649) (39.4622)
0.000000 0.000000 1.000000 0.000000 0.000000 -38.56495 147.8326
(80.0490) (368.321)
0.000000 0.000000 0.000000 1.000000 0.000000 -84.80113 322.8637
(184.236) (847.708)
0.000000 0.000000 0.000000 0.000000 1.000000 0.017258 -0.062885
(0.04620) (0.21256)
Adjustment coefficients (standard error in parentheses)
D(Y) -0.005797 -0.077902 0.019205 -0.002817 -5.396922
(0.00952) (0.03207) (0.03428) (0.00888) (4.25056)
D(X1) -0.008855 -0.043788 0.022194 -0.004470 -6.925070
(0.00831) (0.02800) (0.02992) (0.00775) (3.71037)
D(X2) 0.019009 -0.023899 -0.089078 0.028478 -2.823137
(0.01085) (0.03657) (0.03908) (0.01012) (4.84666)
D(LIM) -0.230336 -0.752184 1.015522 -0.276770 6.374983
(0.09362) (0.31557) (0.33724) (0.08733) (41.8196)
D(VOL) 0.000135 -4.20E-05 -0.000329 4.71E-06 -0.259534
(6.6E-05) (0.00022) (0.00024) (6.1E-05) (0.02927)
D(XN*X1) 0.203112 -0.971787 0.180811 -0.156186 -40.81045
(0.24024) (0.80978) (0.86539) (0.22410) (107.313)
D(XN) 0.043370 -0.216426 0.043453 -0.034947 -8.420122
(0.05277) (0.17787) (0.19009) (0.04923) (23.5722)
6 Cointegrating Equation(s): Log likelihood 4144.462
Normalized cointegrating coefficients (standard error in parentheses)
Y X1 X2 LIM VOL XN*X1 XN
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2.103381
(0.88701)
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.428161
(0.10181)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 1.432671
(0.52142)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.942367
(0.54716)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.002631
(0.00059)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -3.796191
(0.17463)
Adjustment coefficients (standard error in parentheses)
D(Y) -0.027604 -0.073539 0.060209 0.001097 -5.574794 0.015732
(0.01431) (0.03176) (0.03947) (0.00898) (4.20009) (0.03246)
D(X1) -0.000361 -0.045487 0.006224 -0.005994 -6.855791 0.053827
(0.01261) (0.02800) (0.03479) (0.00792) (3.70229) (0.02862)
D(X2) 0.033193 -0.026737 -0.115748 0.025933 -2.707441 0.130825
(0.01645) (0.03651) (0.04538) (0.01032) (4.82873) (0.03732)
D(LIM) -0.132790 -0.771699 0.832107 -0.294277 7.170626 -0.510206
(0.14213) (0.31551) (0.39211) (0.08921) (41.7248) (0.32249)
D(VOL) 0.000151 -4.51E-05 -0.000358 1.86E-06 -0.259404 0.001180
(0.00010) (0.00022) (0.00028) (6.3E-05) (0.02927) (0.00023)
D(XN*X1) 0.356047 -1.002384 -0.106752 -0.183635 -39.56304 -0.266726
(0.36530) (0.81090) (1.00777) (0.22928) (107.237) (0.82884)
D(XN) 0.077248 -0.223204 -0.020248 -0.041028 -8.143796 -0.062662
(0.08024) (0.17812) (0.22136) (0.05036) (23.5551) (0.18206)
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