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我做了一个关于存差、资金来源、储蓄、贷款、外汇储备、工业增加值、消费总额等变量的VAR模型,并进行了JOHNSON协整检验,表明至少有6个协整关系,之后做了误差修正模型,但不太明白输出的结果,希望各位高手指点一下,多谢谢! Date: 08/25/08 Time: 16:16 Sample(adjusted): 2004:05 2007:12 Included observations: 44 after adjusting endpoints Standard errors & t-statistics in parentheses Cointegrating Eq: CointEq1 LY(-1) 1.000000 LX1(-1) -0.095404 (0.01160) (-8.22313) LX3(-1) -0.571038 (0.03296) (-17.3241) LX4(-1) 0.557150 (0.01077) (51.7124) LX5(-1) 0.015928 (0.00065) (24.4551) LX6(-1) 1.779967 (0.00941) (189.067) LX7(-1) -0.013992 (0.00196) (-7.15682) LX9(-1) -0.013428 (0.00089) (-15.0993) LX10(-1) -0.111599 (0.00365) (-30.5826) LX11(-1) 0.030688 (0.00093) (32.8579) @TREND(04:02) -0.006622 (0.00021) (-30.9428) C -13.87884 Error Correction: D(LY) D(LX1) D(LX3) D(LX4) D(LX5) D(LX6) D(LX7) D(LX9) D(LX10) D(LX11) CointEq1 -0.384347 0.963348 0.037111 -0.170086 -1.061587 0.283950 3.820408 3.644330 3.331579 -8.466437 (0.37591) (0.68842) (0.09530) (0.14231) (6.14728) (0.18125) (3.82604) (2.62215) (2.67597) (2.58187) (-1.02243) (1.39936) (0.38940) (-1.19516) (-0.17269) (1.56666) (0.99853) (1.38983) (1.24500) (-3.27919) D(LY(-1)) 1.780041 4.662040 0.590317 -0.145916 -14.08724 -0.346646 24.26810 -10.57544 -14.32182 -29.37075 (1.51071) (2.76661) (0.38300) (0.57192) (24.7045) (0.72839) (15.3760) (10.5378) (10.7541) (10.3759) (1.17828) (1.68511) (1.54130) (-0.25513) (-0.57023) (-0.47591) (1.57831) (-1.00357) (-1.33175) (-2.83066) D(LY(-2)) -0.063623 4.063639 0.000201 -0.464566 2.926550 -0.211330 19.67090 -11.16109 7.829904 -3.255852 (1.32180) (2.42064) (0.33511) (0.50040) (21.6152) (0.63730) (13.4532) (9.22005) (9.40929) (9.07842) (-0.04813) (1.67874) (0.00060) (-0.92838) (0.13539) (-0.33160) (1.46217) (-1.21052) (0.83215) (-0.35864) D(LX1(-1)) 0.117062 3.211015 0.309563 -0.809570 -14.88714 0.270588 13.37337 2.557508 7.207681 -28.14453 (1.22367) (2.24094) (0.31023) (0.46325) (20.0105) (0.58999) (12.4545) (8.53557) (8.71076) (8.40446) (0.09566) (1.43289) (0.99786) (-1.74757) (-0.74397) (0.45863) (1.07378) (0.29963) (0.82745) (-3.34876) D(LX1(-2)) -0.080305 0.818923 0.077139 -0.427493 0.204029 0.146995 1.941223 1.667855 3.149681 -8.808645 (0.49212) (0.90122) (0.12476) (0.18630) (8.04750) (0.23727) (5.00873) (3.43269) (3.50315) (3.37997) (-0.16318) (0.90868) (0.61829) (-2.29460) (0.02535) (0.61952) (0.38757) (0.48587) (0.89910) (-2.60613) D(LX3(-1)) -1.427302 -9.383751 -0.394161 1.129090 43.30623 0.009325 -47.76492 5.476668 19.11246 62.62489 (2.48632) (4.55328) (0.63034) (0.94127) (40.6586) (1.19877) (25.3057) (17.3431) (17.6991) (17.0767) (-0.57406) (-2.06088) (-0.62532) (1.19954) (1.06512) (0.00778) (-1.88751) (0.31578) (1.07986) (3.66727) D(LX3(-2)) -0.047680 -4.227663 -0.250137 0.482526 -12.02217 0.257309 -16.64342 9.976648 -6.172866 6.493363 (1.66895) (3.05640) (0.42312) (0.63183) (27.2922) (0.80468) (16.9866) (11.6416) (11.8806) (11.4628) (-0.02857) (-1.38322) (-0.59118) (0.76370) (-0.44050) (0.31977) (-0.97980) (0.85698) (-0.51958) (0.56647) D(LX4(-1)) -0.047433 2.550998 0.171253 0.498261 -19.70471 0.161649 11.98649 2.290245 -6.729387 -13.67931 (0.59704) (1.09337) (0.15136) (0.22602) (9.76328) (0.28786) (6.07663) (4.16457) (4.25005) (4.10060) (-0.07945) (2.33315) (1.13141) (2.20445) (-2.01825) (0.56156) (1.97256) (0.54994) (-1.58337) (-3.33593) D(LX4(-2)) 0.167554 -0.100044 0.034769 0.032079 1.683009 -0.091792 -0.275513 -2.022495 -1.291300 0.331881 (0.37999) (0.69589) (0.09634) (0.14386) (6.21395) (0.18321) (3.86754) (2.65058) (2.70499) (2.60987) (0.44094) (-0.14376) (0.36091) (0.22299) (0.27084) (-0.50102) (-0.07124) (-0.76304) (-0.47738) (0.12716) D(LX5(-1)) -0.022234 -0.058705 -0.005424 0.001158 -0.493704 0.009731 -0.315767 -0.076954 -0.046134 0.171519 (0.01561) (0.02860) (0.00396) (0.00591) (0.25535) (0.00753) (0.15893) (0.10892) (0.11115) (0.10725) (-1.42394) (-2.05294) (-1.37013) (0.19587) (-1.93346) (1.29253) (-1.98687) (-0.70652) (-0.41504) (1.59930) D(LX5(-2)) -0.022287 -0.067937 -0.005682 -0.000526 -0.019074 0.010693 -0.358799 0.096789 -0.088749 0.147531 (0.01526) (0.02795) (0.00387) (0.00578) (0.24959) (0.00736) (0.15535) (0.10646) (0.10865) (0.10483) (-1.46020) (-2.43055) (-1.46834) (-0.09106) (-0.07642) (1.45308) (-2.30968) (0.90912) (-0.81683) (1.40735) D(LX6(-1)) 2.372247 6.438856 0.992229 0.492323 -17.16134 -0.315813 33.42471 -22.47748 -23.80759 -33.29406 (2.43361) (4.45675) (0.61698) (0.92131) (39.7966) (1.17336) (24.7693) (16.9754) (17.3238) (16.7147) (0.97478) (1.44474) (1.60821) (0.53437) (-0.43123) (-0.26915) (1.34944) (-1.32412) (-1.37427) (-1.99191) D(LX6(-2)) 0.603938 5.482514 -0.080962 -0.595575 5.880189 -0.806164 29.08374 -20.09460 12.67637 -0.922344 (2.22345) (4.07186) (0.56369) (0.84175) (36.3598) (1.07203) (22.6302) (15.5094) (15.8277) (15.2712) (0.27162) (1.34644) (-0.14363) (-0.70755) (0.16172) (-0.75200) (1.28518) (-1.29564) (0.80090) (-0.06040) D(LX7(-1)) -0.031380 -0.414633 -0.052244 0.144845 2.073743 -0.036319 -1.937935 -0.296125 -1.319385 4.757236 (0.21356) (0.39110) (0.05414) (0.08085) (3.49229) (0.10297) (2.17359) (1.48965) (1.52023) (1.46677) (-0.14694) (-1.06018) (-0.96494) (1.79156) (0.59381) (-0.35273) (-0.89158) (-0.19879) (-0.86789) (3.24334) D(LX7(-2)) 0.006203 -0.425571 -0.033280 0.141325 1.268808 -0.043860 -1.461252 -0.569888 -0.845888 3.311267 (0.16018) (0.29334) (0.04061) (0.06064) (2.61938) (0.07723) (1.63029) (1.11731) (1.14024) (1.10015) (0.03872) (-1.45078) (-0.81952) (2.33056) (0.48439) (-0.56792) (-0.89631) (-0.51005) (-0.74185) (3.00984) D(LX9(-1)) -0.048596 -0.123586 -0.015645 -0.023759 0.412792 0.016552 -0.679883 0.112617 -0.399487 0.497215 (0.03551) (0.06503) (0.00900) (0.01344) (0.58066) (0.01712) (0.36140) (0.24768) (0.25277) (0.24388) (-1.36859) (-1.90054) (-1.73787) (-1.76747) (0.71090) (0.96683) (-1.88124) (0.45468) (-1.58046) (2.03878) D(LX9(-2)) -0.011341 0.098189 0.011627 0.016199 -0.674443 0.009535 0.484623 -0.031377 -0.364860 -0.356974 (0.03499) (0.06408) (0.00887) (0.01325) (0.57225) (0.01687) (0.35616) (0.24409) (0.24910) (0.24034) (-0.32409) (1.53217) (1.31059) (1.22277) (-1.17859) (0.56513) (1.36067) (-0.12854) (-1.46469) (-1.48526) D(LX10(-1)) -0.040120 0.082760 -0.005490 -0.020697 -0.119100 0.019077 0.341249 0.347789 -0.500914 -0.172752 (0.02883) (0.05280) (0.00731) (0.01091) (0.47144) (0.01390) (0.29342) (0.20109) (0.20522) (0.19800) (-1.39166) (1.56757) (-0.75117) (-1.89639) (-0.25263) (1.37246) (1.16300) (1.72949) (-2.44085) (-0.87246) D(LX10(-2)) -0.015202 0.075016 -0.009434 -0.012837 -0.260551 0.000294 0.422204 0.056881 -0.276768 -0.067018 (0.02494) (0.04568) (0.00632) (0.00944) (0.40786) (0.01203) (0.25385) (0.17398) (0.17755) (0.17130) (-0.60952) (1.64236) (-1.49196) (-1.35955) (-0.63882) (0.02445) (1.66319) (0.32695) (-1.55885) (-0.39122) D(LX11(-1)) -0.012473 0.139661 0.002327 -0.006000 -0.436889 0.012137 0.815074 -0.068779 0.326020 -0.836220 (0.03701) (0.06777) (0.00938) (0.01401) (0.60517) (0.01784) (0.37665) (0.25814) (0.26343) (0.25417) (-0.33706) (2.06076) (0.24798) (-0.42823) (-0.72193) (0.68023) (2.16399) (-0.26645) (1.23757) (-3.28999) D(LX11(-2)) 0.015327 0.145126 0.022871 0.014156 -0.854381 0.008765 0.608121 0.137397 -0.035272 -1.469378 (0.06050) (0.11080) (0.01534) (0.02291) (0.98942) (0.02917) (0.61581) (0.42204) (0.43070) (0.41556) (0.25331) (1.30976) (1.49099) (0.61802) (-0.86352) (0.30045) (0.98751) (0.32555) (-0.08189) (-3.53591) C 0.018012 -0.006229 0.006594 0.008210 0.164553 -0.007594 -0.056690 0.036640 -0.046871 0.181060 (0.01314) (0.02407) (0.00333) (0.00498) (0.21493) (0.00634) (0.13377) (0.09168) (0.09356) (0.09027) (1.37044) (-0.25878) (1.97884) (1.65000) (0.76562) (-1.19843) (-0.42378) (0.39966) (-0.50097) (2.00576) R-squared 0.655228 0.706245 0.771785 0.848945 0.458919 0.680357 0.557039 0.476706 0.703001 0.684682 Adj. R-squared 0.326128 0.425842 0.553942 0.704756 -0.057567 0.375244 0.134213 -0.022802 0.419503 0.383697 Sum sq. resids 0.003354 0.011247 0.000216 0.000481 0.896832 0.000780 0.347412 0.163177 0.169944 0.158203 S.E. equation 0.012347 0.022611 0.003130 0.004674 0.201904 0.005953 0.125664 0.086123 0.087891 0.084800 Log likelihood 146.1682 119.5463 206.5495 188.9069 23.21438 178.2664 44.07824 60.70309 59.80912 61.38420 Akaike AIC -5.644008 -4.433924 -8.388611 -7.586676 -0.055199 -7.103020 -1.003556 -1.759231 -1.718596 -1.790191 Schwarz SC -4.751913 -3.541829 -7.496517 -6.694581 0.836896 -6.210925 -0.111461 -0.867137 -0.826501 -0.898096 Mean dependent 0.018330 0.015936 0.011707 0.009227 0.020644 -0.003714 0.031144 0.027118 0.020407 0.019533 S.D. dependent 0.015040 0.029840 0.004687 0.008602 0.196332 0.007531 0.135053 0.085157 0.115356 0.108019 Determinant Residual Covariance 9.13E-43 Log Likelihood 1505.269 Akaike Information Criteria -57.92130 Schwarz Criteria -48.55430 |
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