變量

檢驗式( c t k)

ADF檢驗值

1%顯著性水平

5%顯著性水平

10%顯著性水平

結論

LOG(EXCHANGE)

( c t 0)

-0.813513

-4.394309

-3.612199

-3.243079

非平穩

LOG(EXPORT)

( c t 3)

-3.365875

-4.467895

-3.644963

--3.261452

非平穩

LOG(GDP)

( c t 3)

-2.316127

-4.467895

-3.644963

-3.261452

非平穩

LOG(PRICE)

( c t 1)

-1.918041

-4.416345

-3.622033

-3.248592

非平穩

LOG(TAX)

( c t 0)

-3.610510

-4.394309

-3.612199

-3.243079

非平穩

D(LOG(EXCHANGE))

( c t 0)

-5.203728

-4.416345

--3.622033

-3.248592

平穩

D(LOG(EXPORT))

( c t 0)

-4.785919

-4.416345

--3.622033

--3.248592

平穩

D(LOG(GDP))

( c t 5)

-4.030638

-4.571559

-3.690814

-3.286909

平穩

D(LOG(PRICE))

( c t 0)

-4.754756

-4.416345

-3.622033

-3.248592

平穩

D(LOG(TAX))

( c t 0)

-4.553160

-4.416345

-3.622033

-3.248592

平穩

Hypothesized

Trace

Hypothesized

Max-Eigen

No. of CE(s)

Eigenvalue

Statistic

No. of CE(s)

Eigenvalue

Statistic

None *

0.754867

83.84450

None *

0.754867

32.33699

At most 1 *

0.587521

51.50750

At most 1

0.587521

20.36810

At most 2 *

0.545912

31.13940

At most 2

0.545912

18.15765

At most 3

0.430204

12.98175

At most 3

0.430204

12.93698

At most 4

0.001945

0.044768

At most 4

0.001945

0.044768

Trace test indicates 3 cointegrating eqn(s) at the 0.05 level

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

Coefficient

Std. Error

z-Statistic

Prob.

C(1)

-12.59103

9.501778

-1.325124

0.1851

C(2)

-2.998297

0.341472

-8.780505

0.0000

Final State

Root MSE

z-Statistic

Prob.

SV1

-0.497261

0.509468

-0.976040

0.3290

SV2

0.375948

0.635484

0.591592

0.5541

SV3

1.629741

0.246098

6.622311

0.0000

SV4

0.352327

0.050773

6.939252

0.0000

Log likelihood

-34.43856

Akaike info criterion

2.915085

Parameters

2

Schwarz criterion

3.012595

Diffuse priors

4

Hannan-Quinn criter.

2.942130