计量2010研 johansen协整g.pptVIP

Johansen协整检验 [Impulse Response Analysis] Johansen 协整检验方法 三、 Johansen协整检验应用案例 例1 我国物价水平与经济发展水平之间协整性检验。 结论：存在一个协整关系。 应用误区： 1、变量的单整阶数不同； 2、结果与选项有关。 例2 美国个人消费水平与可支配收入之间的协整性检验。 结论：存在两个协整关系。 本片内容全部结束，谢谢观看！ 由于时间仓促，本片设计中一定存在不足与错误之处,恳请各位专家批评指正! ALL is a joint project of Statistics Canada and the US department of education and the OECD. Psychometric expertise is brought by the Educational Testing Services of Princeton New Jersey And important strategic alliances with countries and UNESCO - OREALC are in place ALL is a joint project of Statistics Canada and the US department of education and the OECD. Psychometric expertise is brought by the Educational Testing Services of Princeton New Jersey And important strategic alliances with countries and UNESCO - OREALC are in place ALL is a joint project of Statistics Canada and the US department of education and the OECD. Psychometric expertise is brought by the Educational Testing Services of Princeton New Jersey And important strategic alliances with countries and UNESCO - OREALC are in place ALL is a joint project of Statistics Canada and the US department of education and the OECD. Psychometric expertise is brought by the Educational Testing Services of Princeton New Jersey And important strategic alliances with countries and UNESCO - OREALC are in place ALL is a joint project of Statistics Canada and the US department of education and the OECD. Psychometric expertise is brought by the Educational Testing Services of Princeton New Jersey And important strategic alliances with countries and UNESCO - OREALC are in place Johansen(1991、1995） 协整检验方法是一种建立在VAR模型基础上的检验回归系数的方法，目的在于验证所列变量之间是否存在长期稳定的变动关系，如果变量之间不存在协整关系，则变量之间的回归就是伪回归，模型不具备任何解释力度。 VAR--向量自回归模型: (Vector Autoregressive Model): 最早由Sims在1980年提出。这种模型采用多方程联立的形式， 它不以经济理论为基础，在模型的每一个方程中，内生变量对模型的全部内生变量的滞后值进行回归，从而估计全部内生变量的动态关系。最一般的含有g个变量滞后k期的VAR模型表示如下： VAR MODEL: Yt is a vector,