VAR的最优滞后期是1阶,所以在lag interval 里填0 0,看到有ppt上说在无法确定用第几种方式的时候,可先选择第六种,再按照趋势敏感性来确定。按照第六种方式得到如下结果,
Selected (0.05 level*) Number of Cointegrating Relations by Model
Data Trend: None None Linear Linear Quadratic
Test Type No Intercept Intercept Intercept Intercept Intercept
No Trend No Trend No Trend Trend Trend
Trace 2 2 1 0 1
Max-Eig 2 2 1 1 1
*Critical values based on MacKinnon-Haug-Michelis (1999)
Information Criteria by Rank and Model
Data Trend: None None Linear Linear Quadratic
Rank or No Intercept Intercept Intercept Intercept Intercept
No. of CEs No Trend No Trend No Trend Trend Trend
Log Likelihood by Rank (rows) and Model (columns)
0 81.74140 81.74140 122.7576 122.7576 124.8931
1 122.2550 123.5208 138.0316 138.1923 138.9728
2 135.9828 138.0825 138.9205 141.8036 142.4540
3 136.5672 138.9627 138.9627 142.5984 142.5984
Akaike Information Criteria by Rank (rows) and Model (columns)
0 -5.273639 -5.273639 -7.726299 -7.726299 -7.670524
1 -7.500322 -7.517474 -8.324616* -8.270473 -8.191791
2 -7.998890 -8.005320 -7.994868 -8.051847 -8.029290
3 -7.649494 -7.610497 -7.610497 -7.651512 -7.651512
Schwarz Criteria by Rank (rows) and Model (columns)
0 -5.273639 -5.273639 -7.587526 -7.587526 -7.392978
1 -7.222776 -7.193670 -7.908298* -7.807896 -7.636699
2 -7.443798 -7.357713 -7.301003 -7.265467 -7.196652
3 -6.816857 -6.639086 -6.639086 -6.541328 -6.541328
那么该选择第几种方式?菜鸟一枚,求助大侠。


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