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标题: 做协整检验后再做向量误差修正模型的结果怎么看，怎么把修正的方程写出来啊，谢谢 [打印本页]

作者: Heavenright 时间: 2014-8-14 11:15
标题: 做协整检验后再做向量误差修正模型的结果怎么看，怎么把修正的方程写出来啊，谢谢

Vector Error Correction Estimates
Date: 08/14/14 Time: 11:10
Sample (adjusted): 1981 2013
Included observations: 33 after adjustments
Standard errors in ( ) & t-statistics in [ ]


Cointegrating Eq:	CointEq1


GDP(-1)	1.000000

PRICE(-1)	0.185278
	(0.04597)
	[ 4.03047]

INCOME(-1)	-1.255434
	(0.01873)
	[-67.0224]

C	-1.618201


Error Correction:	D(GDP)	D(PRICE)	D(INCOME)


CointEq1	-0.012301	0.334902	0.518648
	(0.29326)	(0.24532)	(0.24556)
	[-0.04194]	[ 1.36515]	[ 2.11213]

D(GDP(-1))	1.137030	0.405306	0.650514
	(0.30986)	(0.25920)	(0.25945)
	[ 3.66953]	[ 1.56366]	[ 2.50728]

D(GDP(-2))	-0.759631	-0.733525	-0.460811
	(0.29392)	(0.24587)	(0.24611)
	[-2.58448]	[-2.98337]	[-1.87241]

D(PRICE(-1))	-0.864897	0.145326	-0.390713
	(0.31150)	(0.26058)	(0.26083)
	[-2.77654]	[ 0.55770]	[-1.49798]

D(PRICE(-2))	0.680949	0.135702	0.060885
	(0.29505)	(0.24681)	(0.24705)
	[ 2.30794]	[ 0.54982]	[ 0.24645]

D(INCOME(-1))	0.550059	0.518306	0.482991
	(0.34297)	(0.28690)	(0.28718)
	[ 1.60381]	[ 1.80655]	[ 1.68186]

D(INCOME(-2))	-0.037353	0.280658	0.180163
	(0.28834)	(0.24120)	(0.24143)
	[-0.12954]	[ 1.16358]	[ 0.74623]

C	0.035565	-0.020962	0.026281
	(0.03059)	(0.02559)	(0.02561)
	[ 1.16272]	[-0.81925]	[ 1.02612]


R-squared	0.625789	0.701314	0.684582
Adj. R-squared	0.521009	0.617682	0.596265
Sum sq. resids	0.044985	0.031479	0.031539
S.E. equation	0.042419	0.035485	0.035519
F-statistic	5.972452	8.385703	7.751408
Log likelihood	62.04090	67.93143	67.89995
Akaike AIC	-3.275206	-3.632208	-3.630300
Schwarz SC	-2.912416	-3.269418	-3.267510
Mean dependent	0.146347	0.042586	0.122217
S.D. dependent	0.061292	0.057389	0.055900


Determinant resid covariance (dof adj.)		4.57E-10
Determinant resid covariance		1.99E-10
Log likelihood		228.1049
Akaike information criterion		-12.18817
Schwarz criterion		-10.96376

作者: madio 时间: 2014-8-14 15:08
Standard errors in ( ) & t-statistics in [ ]这个说标准误差在（）里面的数字表明，t检验结果在【】中表明

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