Date: 05/19/12 Time: 20:34Date: 05/19/12 Time: 20:34
Sample (adjusted): 6 1261
Included observations: 1256 after adjustments
Trend assumption: Linear deterministic trend (restricted)
Series: SH1 SZ1
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 * 0.197275 488.3350 25.87211 0.0000
At most 1 * 0.155541 212.3379 12.51798 0.0000
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 * 0.197275 275.9971 19.38704 0.0001
At most 1 * 0.155541 212.3379 12.51798 0.0000
Max-eigenvalue 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
各位大侠,这个JJ检验把r=0和1都拒绝了?两个数列难道存在两个协整关系么?我该怎么分析?或者是我做错了么?请问各位大侠我该怎么办?如果错了,可能在什么地方出错了,我该怎么改正呢?我在进行JJ检验时用的都是eviews的默认选项。谢谢各位了!