菜鸟在写论文途中,遇到LnFDI,LnER,LnK,LnM在ADF检验中,在一阶差分后至少5%显著水平上平稳,也就是都均为一阶单整。但在Jonhansen检验中却出现以下结果,求助大神解释!
Date: 03/29/13 Time: 16:59
Sample (adjusted): 1994 2012
Included observations: 19 after adjustments
Trend assumption: Linear deterministic trend
Series: LNFDI LNER LNK LNM
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.671652 47.37178 47.85613 0.0555
At most 1 0.539892 26.21183 29.79707 0.1225
At most 2 0.274531 11.46225 15.49471 0.1846
At most 3 * 0.245983 5.364459 3.841466 0.0205
Trace 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 Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.671652 21.15995 27.58434 0.2667
At most 1 0.539892 14.74958 21.13162 0.3068
At most 2 0.274531 6.097795 14.26460 0.6007
At most 3 * 0.245983 5.364459 3.841466 0.0205
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


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