[问答] Johansen协整出三个方程，结果如下，我看了几遍书，也写不出这三个方程，请高手赐教 [推广有奖]

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cuiyuling 发表于 2009-9-1 15:52:33 |AI写论文

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Johansen协整出三个方程，结果如下，我看了几遍书，也写不出这三个方程，请高手赐教Unrestricted Cointegration Rank Test (Trace)

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

None *  0.692607  84.92364  47.85613  0.0000
At most 1 *  0.425109  37.73845  29.79707  0.0050
At most 2 *  0.321884  15.59549  15.49471  0.0483
At most 3  0.001449  0.058022  3.841466  0.8096

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 *  0.692607  47.18519  27.58434  0.0001
At most 1 *  0.425109  22.14297  21.13162  0.0359
At most 2 *  0.321884  15.53746  14.26460  0.0313
At most 3  0.001449  0.058022  3.841466  0.8096

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):

LNGZ LNM LNS R
-11.41614  15.65692  1.933798 -0.285456
-2.602664  1.972173  0.352348  1.791670
-8.416999  11.41313 -4.915383  2.261272
0.271001 -4.956435 -2.284207  1.045079

Unrestricted Adjustment Coefficients (alpha):

D(LNGZ)  0.095942 -0.036226  0.017587  0.003530
D(LNM)  0.013732 -0.001392 -5.85E-05 -8.70E-05
D(LNS) -0.013778 -0.044359  0.064867 -0.001844
D(R)  0.030010 -0.116926 -0.053771  0.000568

1 Cointegrating Equation(s): Log likelihood  189.0830

Normalized cointegrating coefficients (standard error in parentheses)
LNGZ LNM LNS R
1.000000 -1.371473 -0.169392  0.025005
  (0.05549)  (0.06446)  (0.03143)

Adjustment coefficients (standard error in parentheses)
D(LNGZ) -1.095283
  (0.28957)
D(LNM) -0.156762
  (0.02165)
D(LNS)  0.157288
  (0.31765)
D(R) -0.342595
  (0.45755)

2 Cointegrating Equation(s): Log likelihood  200.1545

Normalized cointegrating coefficients (standard error in parentheses)
LNGZ LNM LNS R
1.000000  0.000000 -0.093386 -1.569225
(1.02567)  (0.44397)
0.000000  1.000000  0.055419 -1.162421
(0.75226)  (0.32562)

Adjustment coefficients (standard error in parentheses)
D(LNGZ) -1.001000  1.430708
  (0.28512)  (0.38426)
D(LNM) -0.153139  0.212249
  (0.02197)  (0.02961)
D(LNS)  0.272739 -0.303200
  (0.30947)  (0.41708)
D(R) -0.038276  0.239262
  (0.38489)  (0.51873)

3 Cointegrating Equation(s): Log likelihood  207.9232

Normalized cointegrating coefficients (standard error in parentheses)
LNGZ LNM LNS R
1.000000  0.000000  0.000000 -1.603430
(0.31124)
0.000000  1.000000  0.000000 -1.142122
(0.22854)
0.000000  0.000000  1.000000 -0.366278
(0.07521)

Adjustment coefficients (standard error in parentheses)
D(LNGZ) -1.149029  1.631431  0.086321
  (0.34760)  (0.46945)  (0.12761)
D(LNM) -0.152646  0.211581  0.026351
  (0.02706)  (0.03654)  (0.00993)
D(LNS) -0.273250  0.437141 -0.361121
  (0.33408)  (0.45119)  (0.12264)
D(R)  0.414312 -0.374431  0.281138
  (0.44896)  (0.60634)  (0.16482)