EViews 6.0 beta用engel granger思想,通过残差检验面板序列之间是否协整?
平稳=>被检验的验面板序列之间协整。
这样理解是否正确?怎样看结果?
Pedroni Residual Cointegration Test
Series: 已经删去
Date: 05/17/07 Time: 17:09
Sample: 1986 2005
Included observations: 20
Cross-sections included: 29
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
Lag selection: Automatic SIC with a max lag of 2
Newey-West bandwidth selection with Bartlett kernel
Alternative hypothesis: common AR coefs. (within-dimension)
Weighted
Statistic Prob. Statistic Prob.
Panel v-Statistic -0.241774 0.3875 -1.156392 0.2044
Panel rho-Statistic 3.870924 0.0002 4.087770 0.0001
Panel PP-Statistic 0.356500 0.3744 -0.647370 0.3235
Panel ADF-Statistic -3.235889 0.0021 -3.991631 0.0001
Alternative hypothesis: individual AR coefs. (between-dimension)
Statistic Prob.
Group rho-Statistic 5.993404 0.0000
Group PP-Statistic -4.450792 0.0000
Group ADF-Statistic -5.287760 0.0000
您这里Pedroni 7统计量协整检验,组间结论比较一致,组内结论不大一致,建议再做Kao的LM检验和FISHER-ADF


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