Johansen特征根方法进行协整向量个数检验的结果怎么看啊？

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Date: 04/03/10   Time: 15:03

Sample (adjusted): 1979 2008

Included observations: 30 after adjustments

Trend assumption: No deterministic trend

Series: FE GDP TB

Lags interval (in first differences): No lags



Unrestricted Cointegration Rank Test (Trace)



Hypothesized
Trace
0.05

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


None *
0.889500
77.04398
24.27596
0.0000
At most 1
0.202471
10.96176
12.32090
0.0836
At most 2 *
0.129907
4.174645
4.129906
0.0487


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 *
0.889500
66.08222
17.79730
0.0000
At most 1
0.202471
6.787112
11.22480
0.2686
At most 2 *
0.129907
4.174645
4.129906
0.0487


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):



FE
GDP
TB

2.123163
-0.111858
1.208803

21.14468
-0.124826
-0.001190

3.995427
-0.020530
-6.264219





Unrestricted Adjustment Coefficients (alpha):



D(FE)
-0.002112
-0.018256
-0.002920

D(GDP)
-0.146985
0.007009
-0.010095

D(TB)
-0.022223
-0.009393
0.044030





1 Cointegrating Equation(s):
Log likelihood
118.1057



Normalized cointegrating coefficients (standard error in parentheses)

FE
GDP
TB

1.000000
-0.052685
0.569341


(0.00305)
(0.19404)



Adjustment coefficients (standard error in parentheses)

D(FE)
-0.004485


(0.01631)

D(GDP)
-0.312072


(0.02402)

D(TB)
-0.047183


(0.04896)





2 Cointegrating Equation(s):
Log likelihood
121.4993



Normalized cointegrating coefficients (standard error in parentheses)

FE
GDP
TB

1.000000
0.000000
-0.071910


(0.12231)

0.000000
1.000000
-12.17151


(4.62693)



Adjustment coefficients (standard error in parentheses)

D(FE)
-0.390498
0.002515


(0.14654)
(0.00116)

D(GDP)
-0.163873
0.015567


(0.23880)
(0.00188)

D(TB)
-0.245785
0.003658


(0.48864)
(0.00385)

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关键词：Johansen johans Hansen ans 特征根 检验 结果 向量 Johansen 特征根

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level