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怎么看要舍弃哪一个变量？
Date: 03/05/17 Time: 12:45
Sample (adjusted): 1987 2015
Included observations: 29 after adjustments
Trend assumption: Linear deterministic trend
Series: RATE LNGDP LNFDI LNUBR TRADE
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 * 0.792118 117.8715 69.81889 0.0000
At most 1 * 0.705407 72.31872 47.85613 0.0001
At most 2 * 0.591337 36.87610 29.79707 0.0065
At most 3 0.211831 10.92504 15.49471 0.2161
At most 4 * 0.129496 4.021798 3.841466 0.0449
Trace test indicates 3 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 * 0.792118 45.55278 33.87687 0.0013
At most 1 * 0.705407 35.44263 27.58434 0.0040
At most 2 * 0.591337 25.95106 21.13162 0.0097
At most 3 0.211831 6.903239 14.26460 0.5007
At most 4 * 0.129496 4.021798 3.841466 0.0449
Max-eigenvalue test indicates 3 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):
RATE LNGDP LNFDI LNUBR TRADE
-10.50433 7.204990 -1.840330 -11.63707 0.172706
7.085887 6.749598 -2.510042 -18.20685 -0.272295
0.203532 11.46708 -4.940944 -39.10165 0.131336
9.709662 8.745313 -6.073818 -25.20292 -0.053821
-6.031391 -3.887995 1.610994 19.08573 -0.029214
Unrestricted Adjustment Coefficients (alpha):
D(RATE) -0.008850 -0.021453 0.039475 -0.008393 0.004085
D(LNGDP) -0.004994 -0.006586 0.002542 0.011572 -0.005804
D(LNFDI) -0.009078 0.032782 0.052298 0.061217 0.010440
D(LNUBR) 0.001650 0.010888 0.005554 -0.003432 -0.005686
D(TRADE) -2.861492 0.189145 -0.517799 -0.038767 -0.423623
1 Cointegrating Equation(s): Log likelihood 134.0793
Normalized cointegrating coefficients (standard error in parentheses)
RATE LNGDP LNFDI LNUBR TRADE
1.000000 -0.685907 0.175197 1.107836 -0.016441
(0.20384) (0.08980) (0.59302) (0.00309)
Adjustment coefficients (standard error in parentheses)
D(RATE) 0.092965
(0.15642)
D(LNGDP) 0.052455
(0.07940)
D(LNFDI) 0.095359
(0.40042)
D(LNUBR) -0.017334
(0.05844)
D(TRADE) 30.05806
(5.12450)
2 Cointegrating Equation(s): Log likelihood 151.8006
Normalized cointegrating coefficients (standard error in parentheses)
RATE LNGDP LNFDI LNUBR TRADE
1.000000 0.000000 -0.046438 -0.431595 -0.025646
(0.02144) (0.12621) (0.00279)
0.000000 1.000000 -0.323128 -2.244373 -0.013419
(0.02846) (0.16752) (0.00370)
Adjustment coefficients (standard error in parentheses)
D(RATE) -0.059051 -0.208566
(0.17679) (0.13775)
D(LNGDP) 0.005785 -0.080435
(0.09361) (0.07294)
D(LNFDI) 0.327649 0.155859
(0.47239) (0.36806)
D(LNUBR) 0.059820 0.085383
(0.06205) (0.04835)
D(TRADE) 31.39832 -19.34037
(6.15405) (4.79499)
3 Cointegrating Equation(s): Log likelihood 164.7762
Normalized cointegrating coefficients (standard error in parentheses)
RATE LNGDP LNFDI LNUBR TRADE
1.000000 0.000000 0.000000 0.071262 -0.036645
(0.18755) (0.00365)
0.000000 1.000000 0.000000 1.254605 -0.089957
(0.87762) (0.01710)
0.000000 0.000000 1.000000 10.82846 -0.236865
(2.35282) (0.04584)
Adjustment coefficients (standard error in parentheses)
D(RATE) -0.051017 0.244101 -0.124910
(0.12862) (0.15357) (0.05927)
D(LNGDP) 0.006303 -0.051290 0.013164
(0.09329) (0.11140) (0.04299)
D(LNFDI) 0.338294 0.755565 -0.323980
(0.44426) (0.53047) (0.20472)
D(LNUBR) 0.060951 0.149074 -0.057811
(0.05966) (0.07124) (0.02749)
D(TRADE) 31.29293 -25.27801 7.349741
(5.94553) (7.09922) (2.73972)
4 Cointegrating Equation(s): Log likelihood 168.2278
Normalized cointegrating coefficients (standard error in parentheses)
RATE LNGDP LNFDI LNUBR TRADE
1.000000 0.000000 0.000000 0.000000 -0.035782
(0.00165)
0.000000 1.000000 0.000000 0.000000 -0.074765
(0.00644)
0.000000 0.000000 1.000000 0.000000 -0.105746
(0.01870)
0.000000 0.000000 0.000000 1.000000 -0.012109
(0.00238)
Adjustment coefficients (standard error in parentheses)
D(RATE) -0.132513 0.170698 -0.073930 -0.838428
(0.15874) (0.17377) (0.08378) (0.51001)
D(LNGDP) 0.118662 0.049910 -0.057121 -0.212998
(0.10866) (0.11895) (0.05735) (0.34911)
D(LNFDI) 0.932686 1.290922 -0.695798 -4.078992
(0.50700) (0.55503) (0.26758) (1.62898)
D(LNUBR) 0.027624 0.119057 -0.036964 -0.348125
(0.07398) (0.08098) (0.03904) (0.23768)
D(TRADE) 30.91652 -25.61703 7.585202 51.07947
(7.48859) (8.19797) (3.95224) (24.0605)
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