现在我们分析一下以下两个序列,其中,X1为I(2),X2为I(1)
year X1 X2
1985 4753.00 3318.33
1986 5304.00 3253.00
1987 5572.00 3022.00
1988 6032.00 2977.00
1989 6290.00 2946.00
1990 6338.00 2907.07
1991 6546.00 2879.93
1992 7031.00 2975.90
1993 8084.00 3379.40
1994 8921.00 3775.70
1995 9515.00 3809.40
1996 10491.00 3615.65
1997 11288.00 3721.57
1998 12293.00 4039.12
1999 13346.85 4268.20
2000 15237.27 4855.50
2001 16402.45 4991.30
2002 17352.93 4920.60
2003 17953.76 5056.80
2004 17560.42 4745.10
2005 17720.71 4662.25
2006 16639.14 3960.06
2007 17328.62 3944.85
2008 17875.94 4245.80
通过协整检验得到以下组合系数:
1 Cointegrating Equation(s): Log likelihood -302.4130
Normalized cointegrating coefficients (standard error in parentheses)
X1 X2
1.000000 -7.268830
(0.57930)
其线性组合X1-7.26883*X2不平稳。
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