cointegration test_covariance stationary_unit root test(2)

UR GP FE C

1.526343 3.989200 -2.591811 30.80669

-1.689682 -2.733144 4.963566 -85.82635

-0.497118 0.680323 0.078242 0.537296

Unrestricted Adjustment Coefficients (alpha):

D(UR) -0.053650 0.007730 0.042122

D(GP) -0.080406 0.033823 -0.028757

D(FE) -0.135133 -0.141376 -0.015377

1 Cointegrating Equation(s): Log likelihood 31.31896

Normalized cointegrating coefficients (standard error in parentheses)

UR GP FE C

1.000000 2.613567 -1.698053 20.18333

(0.24411) (0.22268) (4.92779)

Adjustment coefficients (standard error in parentheses)

D(UR) -0.081888

(0.04050)

D(GP) -0.122727

(0.03702)

D(FE) -0.206260

(0.07264)

2 Cointegrating Equation(s): Log likelihood 40.24328

Normalized cointegrating coefficients (standard error in parentheses)

UR GP FE C

1.000000 0.000000 -4.950574 100.5072

(0.76072) (16.6810)

0.000000 1.000000 1.244476 -30.73340

(0.33992) (7.45376)

Adjustment coefficients (standard error in parentheses)

D(UR) -0.094949 -0.235147

(0.06036) (0.12818)

D(GP) -0.179876 -0.413197

(0.05390) (0.11448)

D(FE) 0.032621 -0.152673

(0.09600) (0.20387)

zxxc0220 发表于2楼

迹检验和最大特征值检验 中 NONE、at most 1 为星号，表示拒绝假设，即存在协整关系，最多不止1个。Trace test indicates 2 cointegrating eqn(s) at the 0.05 level在5%显著性水平下，迹检验结果表明这三个变量间存在2个协整关系。Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level 5%显著性水平下，最大特征值检验表明三变量间存在2个协整关系。两协整关系方程为：UR =4.950574 FE ...

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