long and short term equations

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fifidm
Posts: 1
Joined: Wed Apr 12, 2017 7:09 am

long and short term equations

Postby fifidm » Thu Apr 13, 2017 1:14 am

Hello,
the run of cointegration test on eviews gives us:


Date: 04/13/17 Time: 09:25
Sample(adjusted): 2002 2015
Included observations: 14 after adjusting endpoints
Trend assumption: Linear deterministic trend (restricted)
Series: CE E G
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test

Hypothesized Trace 5 Percent 1 Percent
No. of CE(s) Eigenvalue Statistic Critical Value Critical Value

None ** 0.943976 63.45509 42.44 48.45
At most 1 0.682073 23.10735 25.32 30.45
At most 2 0.396247 7.064266 12.25 16.26

*(**) denotes rejection of the hypothesis at the 5%(1%) level
Trace test indicates 1 cointegrating equation(s) at both 5% and 1% levels


Hypothesized Max-Eigen 5 Percent 1 Percent
No. of CE(s) Eigenvalue Statistic Critical Value Critical Value

None ** 0.943976 40.34774 25.54 30.34
At most 1 0.682073 16.04309 18.96 23.65
At most 2 0.396247 7.064266 12.25 16.26

*(**) denotes rejection of the hypothesis at the 5%(1%) level
Max-eigenvalue test indicates 1 cointegrating equation(s) at both 5% and 1% levels

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

CE E G @TREND(01)
0.309809 -0.026339 -0.003360 6.357138
5.323801 -0.019033 -0.002098 1.986750
3.174429 -0.002514 -0.002042 0.606928


Unrestricted Adjustment Coefficients (alpha):

D(CE) 0.122194 -0.025537 0.060332
D(E) 18.17960 26.80285 -15.71174
D(G) -327.9016 1305.121 1094.855


1 Cointegrating Equation(s): Log likelihood -175.5371

Normalized cointegrating coefficients (std.err. in parentheses)
CE E G @TREND(01)
1.000000 -0.085017 -0.010844 20.51954
(0.00752) (0.00097) (1.75813)

Adjustment coefficients (std.err. in parentheses)
D(CE) 0.037857
(0.01084)
D(E) 5.632203
(4.25272)
D(G) -101.5869
(242.823)


2 Cointegrating Equation(s): Log likelihood -167.5155

Normalized cointegrating coefficients (std.err. in parentheses)
CE E G @TREND(01)
1.000000 0.000000 6.46E-05 -0.511195
(7.6E-05) (0.06071)
0.000000 1.000000 0.128314 -247.3704
(0.00536) (4.29587)

Adjustment coefficients (std.err. in parentheses)
D(CE) -0.098097 -0.002732
(0.18107) (0.00110)
D(E) 148.3253 -0.988978
(55.5757) (0.33866)
D(G) 6846.617 -16.20399
(3476.79) (21.1864)


How can I write short term and long term correlations from this result.

Regards.

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