[程式] EVIEW跑共整合
[軟體程式類別]:
EVIEWS
[程式問題]:
共整合檢定
[軟體熟悉度]:
新手(不到1個月)
[問題敘述]:
1.我想要確認兩變數間有無共整合關係，
已先用單根檢定確認兩者皆為非定定態序列，一階差分後可為定態，
那想請問當我跑共整合時是要使用差分過的資料還是用原資料就可以了呢?
2.是否一定要先用Estimate VAR求出最適落後期?
那要用原資料還是差分過後的資料呢?
3.跑完共整合之後出來的結果不會解讀...
[程式範例]:
附上檢核出來的結果，請大家指教謝謝。
Date: 07/24/12 Time: 13:59
Sample (adjusted): 8/12/2010 7/19/2012
Included observations: 102 after adjustments
Trend assumption: Linear deterministic trend
Series: ser1 ser2
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.048851 6.018574 15.49471 0.6934
At most 1 0.008881 0.909943 3.841466 0.3401
Trace test indicates no cointegration 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)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.048851 5.108630 14.26460 0.7280
At most 1 0.008881 0.909943 3.841466 0.3401
Max-eigenvalue test indicates no cointegration at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
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◆ From: 122.116.25.35
※ 編輯: kame 來自: 122.116.25.35 (07/24 14:03)
※ 編輯: kame 來自: 122.116.25.35 (07/24 15:27)
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07/24 23:00, , 1F
07/24 23:00, 1F
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07/24 23:01, 2F
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07/25 08:26, 3F