三变量误差修正模型：两个解释变量，用JJ协整检验后得到以下结果，如何看这个结果？怎样做误差修正模型？0

vldxhg2013.04.12浏览2007次分享举报

Date: 01/13/12 Time: 12:06

Sample (adjusted): 1989 2010

Included observations: 22 after adjustments

Trend assumption: Linear deterministic trend

Series: LNTFP LNOFDI LNS

Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

HypothesizedTrace0.05

No. of CE(s)EigenvalueStatisticCritical ValueProb.**

None * 0.664885 41.44770 29.79707 0.0015

At most 1 *0.470765 17.39553 15.49471 0.0256

At most 2 0.143056 3.396423 3.841466 0.0653

Trace test indicates 2 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)

HypothesizedMax-Eigen0.05

No. of CE(s)EigenvalueStatisticCritical ValueProb.**

None * 0.664885 24.05217 21.13162 0.0188

At most 1 0.470765 13.99910 14.26460 0.0550

At most 2 0.143056 3.396423 3.841466 0.0653

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):

LNTFPLNOFDILNS

30.05579-2.264232-2.547612

12.11055 2.298884-2.846867

-2.975400 3.045426-2.971431

Unrestricted Adjustment Coefficients (alpha):

D(LNTFP)-0.022466 0.002338-0.004361

D(LNOFDI)-0.002442-0.073448-0.026211

D(LNS)-0.005357-0.014135 0.013305

1 Cointegrating Equation(s): Log likelihood 111.7347

Normalized cointegrating coefficients (standard error in parentheses)

LNTFPLNOFDILNS

1.000000-0.075334-0.084763

(0.02389) (0.02110)

Adjustment coefficients (standard error in parentheses)

D(LNTFP)-0.675241

(0.14561)

D(LNOFDI)-0.073407

(0.92967)

D(LNS)-0.161007

(0.29846)

2 Cointegrating Equation(s): Log likelihood 118.7343

Normalized cointegrating coefficients (standard error in parentheses)

LNTFPLNOFDILNS

1.000000 0.000000-0.127467

(0.00843)

0.000000 1.000000-0.566869

(0.09582)

Adjustment coefficients (standard error in parentheses)

D(LNTFP)-0.646922 0.056245

(0.15590) (0.01552)

D(LNOFDI)-0.962901-0.163318

(0.81939) (0.08159)

D(LNS)-0.332184-0.020364

(0.30199) (0.03007)