johansen协整检验中有几个协整关系,协整方程怎么写

镜子Jing |浏览21379次
2017/03/02 22:01
johansen协整检验中,我做出迹检验结果为4个协整关系,最大特征根有1个协整关系,那应该有几个协整关系呢?协整方程应该写第几个呢?


Unrestricted Cointegration Rank Test (Trace)

 

 

 

 

 

 

 

 

 

 

 

Hypothesized

 

Trace

0.05

 

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

 

 

 

 

 

 

 

 

 

 

None *

 0.845012

 72.88606

 47.85613

 0.0001

At most 1 *

 0.652534

 37.46237

 29.79707

 0.0054

At most 2 *

 0.430677

 17.37766

 15.49471

 0.0257

At most 3 *

 0.296232

 6.674837

 3.841466

 0.0098

 

 

 

 

 

 

 

 

 

 

 Trace test indicates 4 cointegrating eqn(s) 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 *

 0.845012

 35.42369

 27.58434

 0.0040

At most 1

 0.652534

 20.08470

 21.13162

 0.0695

At most 2

 0.430677

 10.70283

 14.26460

 0.1697

At most 3 *

 0.296232

 6.674837

 3.841466

 0.0098

 

 

 

 

 

 

 

 

 

 

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

 * denotes rejection of the hypothesis at the 0.05 level

 **MacKinnon-Haug-Michelis (1999) p-values

 

 

 

 

 

 



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满意回答

2017/03/05 22:47

我个人倾向于选择有一个协整关系

胖胖小龟宝

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