Identification: beta is exactly identified
Johansen normalization restriction imposed ------------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- _ce1 |
y | 1 . . . . . x | -1.093286 .0913076 -11.97 0.000 -1.272246 -.9143263 _trend | 6.923713 2.414737 2.87 0.004 2.190915 11.65651 _cons | 265.9482 . . . . . ------------------------------------------------------------------------------
Adjustment parameters
Equation Parms chi2 P>chi2 -------------------------------------------
D_y 1 38.57054 0.0000 D_x 1 14.43364 0.0001 -------------------------------------------
------------------------------------------------------------------------------
alpha | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- D_y | _ce1 |
L1. | .0769485 .01239 6.21 0.000 .0526645 .1012325 -------------+---------------------------------------------------------------- D_x | _ce1 |
L1. | .0632409 .016646 3.80 0.000 .0306153 .0958664 ------------------------------------------------------------------------------
Impact parameters
Equation Parms chi2 P>chi2 -------------------------------------------
D_y 1 38.57054 0.0000 D_x 1 14.43364 0.0001 -------------------------------------------
------------------------------------------------------------------------------
Pi | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- D_y | y |
L1. | .0769485 .01239 6.21 0.000 .0526645 x |
L1. | -.0841267 .0135458 -6.21 0.000 -.110676 _trend | .5327692 .085785 6.21 0.000 .3646337 -------------+---------------------------------------------------------------- D_x | y |
L1. | .0632409 .016646 3.80 0.000 .0306153 x |
L1. | -.0691403 .0181988 -3.80 0.000 -.1048094 _trend | .4378615 .1152521 3.80 0.000 .2119715 ------------------------------------------------------------------------------
.1012325 -.0575773 .7009046 .0958664 -.0334713 .6637515 如果用t(t)命令，在协整向量β中有趋势项和截距项的估计，在误差修正模型中也有趋势项和截距项的估计，但在π的估计中没有趋势项和截距项的估计 vec y x, t(t) pi al
Vector error-correction model
Sample: 3 - 204 No. of obs = 202 AIC = 18.28006 Log likelihood = -1835.286 HQIC = 18.35295 Det(Sigma_ml) = 267103.3 SBIC = 18.46021
Equation Parms RMSE R-sq chi2 P>chi2 ----------------------------------------------------------------
D_y 5 21.0672 0.6657 392.335 0.0000 D_x 5 27.7099 0.5613 252.0789 0.0000 ----------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- D_y | _ce1 |
L1. | .0571242 .0245116 2.33 0.020 .0090823 .105166 y |
LD. | .1223172 .0814153 1.50 0.133 -.0372539 .2818883 x |
LD. | .087465 .0574244 1.52 0.128 -.0250847 .2000147 _trend | .0903107 .0414989 2.18 0.030 .0089743 .1716471 _cons | -.4646132 3.478827 -0.13 0.894 -7.282989 6.353763 -------------+---------------------------------------------------------------- D_x | _ce1 |
L1. | .1193333 .0322403 3.70 0.000 .0561435 .182523 y |
LD. | .3340591 .107086 3.12 0.002 .1241744 .5439439 x |
LD. | -.1378621 .0755306 -1.83 0.068 -.2858994 .0101751 _trend | -.0432312 .0545838 -0.79 0.428 -.1502134 .063751 _cons | 1.633519 4.575721 0.36 0.721 -7.33473 10.60177 ------------------------------------------------------------------------------
Cointegrating equations
Equation Parms chi2 P>chi2 -------------------------------------------
_ce1 1 249.0347 0.0000 -------------------------------------------
Identification: beta is exactly identified
Johansen normalization restriction imposed ------------------------------------------------------------------------------
beta | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- _ce1 |
y | 1 . . . . . x | -1.226905 .0777465 -15.78 0.000 -1.379285 -1.074525 _trend | 9.62045 . . . . . _cons | 341.1097 . . . . . ------------------------------------------------------------------------------
Adjustment parameters
Equation Parms chi2 P>chi2 -------------------------------------------
D_y 1 5.431199 0.0198 D_x 1 13.70017 0.0002 -------------------------------------------
------------------------------------------------------------------------------
alpha | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- D_y | _ce1 |
L1. | .0571242 .0245116 2.33 0.020 .0090823 .105166 -------------+---------------------------------------------------------------- D_x | _ce1 |
L1. | .1193333 .0322403 3.70 0.000 .0561435 .182523 ------------------------------------------------------------------------------
Impact parameters
Equation Parms chi2 P>chi2 -------------------------------------------
D_y 1 5.431199 0.0198 D_x 1 13.70017 0.0002 -------------------------------------------
------------------------------------------------------------------------------
Pi | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- D_y | y |
L1. | .0571242 .0245116 2.33 0.020 .0090823 x |
L1. | -.0700859 .0300734 -2.33 0.020 -.1290287 -------------+---------------------------------------------------------------- D_x | y |
L1. | .1193333 .0322403 3.70 0.000 .0561435 x |
L1. | -.1464106 .0395557 -3.70 0.000 -.2239384 ------------------------------------------------------------------------------ .
.105166 -.0111431 .182523 -.0688827