作者kame (real)
看板Statistics
标题[程式] EVIEW跑共整合
时间Tue Jul 24 14:02:44 2012
[软体程式类别]:
EVIEWS
[程式问题]:
共整合检定
[软体熟悉度]:
新手(不到1个月)
[问题叙述]:
1.我想要确认两变数间有无共整合关系，
已先用单根检定确认两者皆为非定定态序列，一阶差分後可为定态，
那想请问当我跑共整合时是要使用差分过的资料还是用原资料就可以了呢?
2.是否一定要先用Estimate VAR求出最适落後期?
那要用原资料还是差分过後的资料呢?
3.跑完共整合之後出来的结果不会解读...
[程式范例]:
附上检核出来的结果，请大家指教谢谢。
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
-----------------------------------------------------------------------------
--
※ 发信站: 批踢踢实业坊(ptt.cc)
◆ From: 122.116.25.35
※ 编辑: kame 来自: 122.116.25.35 (07/24 14:03)
※ 编辑: kame 来自: 122.116.25.35 (07/24 15:27)
1F：→ abhao:共整合就是讨论变数有非定态的情况~~所以用原始资料 07/24 23:00
2F：→ abhao:至於解读资料‵建议你看书~知道麽是虚无假设 07/24 23:01
3F：→ kame:那想请问做VAR也是用原资料吗？谢谢 07/25 08:26