如下,迹检验显示有两个协整向量,而最大特征值检验却显示没有协整向量,那到底应该以哪个为标准?
Date: 05/18/11 Time: 15:57
Sample (adjusted): 2001M06 2010M12
Included observations: 115 after adjustments
Trend assumption: Linear deterministic trend
Series: GCPI GM2
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.096448 16.57800 15.49471 0.0342
At most 1 * 0.041835 4.914565 3.841466 0.0266
Trace test indicates 2 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 0.096448 11.66343 14.26460 0.1239
At most 1 * 0.041835 4.914565 3.841466 0.0266
Max-eigenvalue test indicates no cointegration at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
GCPI GM2
-0.092893 0.285760
0.477220 0.165750
Unrestricted Adjustment Coefficients (alpha):
D(GCPI) 0.165214 -0.079353
D(GM2) -0.202797 -0.181076
1 Cointegrating Equation(s): Log likelihood -283.4327
Normalized cointegrating coefficients (standard error in parentheses)
GCPI GM2
1.000000 -3.076246
(1.00378)
Adjustment coefficients (standard error in parentheses)
D(GCPI) -0.015347
(0.00578)
D(GM2) 0.018838
(0.00980)