一个协整结果分析，烦请高手帮忙

烦请高手帮忙给出结果方程,感激~~~

Date: 10/28/09 Time: 13:49
Sample (adjusted): 1999M04 2009M06
Included observations: 123 after adjustments
Trend assumption: Linear deterministic trend
Series: X WY Q V
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 *					0.244387	60.64917	47.85613	0.0020
At most 1					0.117324	26.18138	29.79707	0.1234
At most 2					0.069272	10.83128	15.49471	0.2221
At most 3					0.016139	2.001349	3.841466	0.1572
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 *					0.244387	34.46779	27.58434	0.0056
At most 1					0.117324	15.35011	21.13162	0.2651
At most 2					0.069272	8.829926	14.26460	0.3006
At most 3					0.016139	2.001349	3.841466	0.1572
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):
X					WY	Q	V
-3.969173					31.86982	13.56827	306.1850
2.223562					-25.52754	3.892741	-10.41026
2.635019					-8.959005	12.67103	-187.5967
-3.119866					15.25361	8.400732	-4.975683
Unrestricted Adjustment Coefficients (alpha):
D(X)					0.001996	0.004043	-0.016246	0.010012
D(WY)					-0.007276	0.000132	-0.003273	0.000579
D(Q)					0.003247	-0.004878	-0.000230	4.09E-05
D(V)					-0.000266	-0.000306	0.000424	0.000172
1 Cointegrating Equation(s):						Log likelihood	1370.169
Normalized cointegrating coefficients (standard error in parentheses)
X					WY	Q	V
1.000000					-8.029335	-3.418413	-77.14076
					(0.65619)	(0.82480)	(9.33498)
Adjustment coefficients (standard error in parentheses)
D(X)					-0.007921
					(0.03766)
D(WY)					0.028880
					(0.00688)
D(Q)					-0.012887
					(0.00574)
D(V)					0.001056
					(0.00087)
2 Cointegrating Equation(s):						Log likelihood	1377.844
Normalized cointegrating coefficients (standard error in parentheses)
X					WY	Q	V
1.000000					0.000000	-15.44471	-245.7223
						(5.75747)	(67.9715)
0.000000					1.000000	-1.497795	-20.99571
						(0.67776)	(8.00151)
Adjustment coefficients (standard error in parentheses)
D(X)					0.001068	-0.039599
					(0.04313)	(0.38711)
D(WY)					0.029174	-0.235265
					(0.00788)	(0.07074)
D(Q)					-0.023733	0.227994
					(0.00624)	(0.05599)
D(V)					0.000376	-0.000676
					(0.00099)	(0.00889)
3 Cointegrating Equation(s):						Log likelihood	1382.259
Normalized cointegrating coefficients (standard error in parentheses)
X					WY	Q	V
1.000000					0.000000	0.000000	-140.6481
							(39.8885)
0.000000					1.000000	0.000000	-10.80584
							(5.03778)
0.000000					0.000000	1.000000	6.803247
							(3.33191)
Adjustment coefficients (standard error in parentheses)
D(X)					-0.041742	0.105953	-0.163044
					(0.04919)	(0.39114)	(0.17748)
D(WY)					0.020551	-0.205946	-0.139677
					(0.00896)	(0.07127)	(0.03234)
D(Q)					-0.024340	0.230056	0.022146
					(0.00721)	(0.05732)	(0.02601)
D(V)					0.001493	-0.004472	0.000570
					(0.00113)	(0.00895)	(0.00406)

（1）根据Johansen协整检验结果，迹统计量（Trace）和最大特征值（Max-eigenvalue）的检验结果都显示，在5%（P为0.0020和0.0056）的显著水平存在一个协整关系。（2）因为只有一个协整关系，主要看第一个协整方程即可（ 1 Cointegrating Equation(s): ）
系数看标准化系数：（Normalized cointegrating coefficients）
从而协整矩阵为：（X、WY、Q、V）=（1.0000，8.0293，3.4184，-77.1408）

《商学院》不错

不好意思，楼主  回错贴了

一般，其他的就不用考虑了，呵呵。希望你看明白。多看一些相关时间序列数据关于协整检验的资料

我看不清楚哦，没有复制好

看不清楚啊，这怎么弄呢

楼主再贴清楚点吧，数据看清楚再说~

2# shijianpin
g


谢谢你
我也是初学，对很多东西不是很把握。
不过还有一点疑问，
为什么WY 和Q 项的负号被省略了，还没看清楚还是？？

弱弱地提一个问题：如果协整矩阵为：（X、WY、Q、V）=（1.0000，8.0293，3.4184，-77.1408）
那么将长期均衡的数学表达形式写成：X= -8.0293WY -3.4184Q +77.1408V    这样写对不？