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协整检验结果如下 存在协整关系 但协整方程好像有点夸张 请问问题会出在哪里
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.711421 65.02860 29.79707 0.0000
At most 1 * 0.544416 26.50224 15.49471 0.0008
At most 2 0.066426 2.130779 3.841466 0.1444
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 * 0.711421 38.52636 21.13162 0.0001
At most 1 * 0.544416 24.37146 14.26460 0.0009
At most 2 0.066426 2.130779 3.841466 0.1444
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
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
INVD STO TTF
0.000917 -3.364075 -1.129234
-0.003396 108.3322 -110.0995
-0.002534 24.18570 -24.96412
Unrestricted Adjustment Coefficients (alpha):
D(INVD) 69.33592 156.9376 99.51230
D(STO) 0.041483 -0.028273 0.009316
D(TTF) 0.042718 -0.025721 0.007631
1 Cointegrating Equation(s): Log likelihood -59.08131
Normalized cointegrating coefficients (standard error in parentheses)
INVD STO TTF
1.000000 -3667.766 -1231.175
(12005.3) (12584.4)
Adjustment coefficients (standard error in parentheses)
D(INVD) 0.063595
(0.14366)
D(STO) 3.80E-05
(1.9E-05)
D(TTF) 3.92E-05
(1.7E-05)
2 Cointegrating Equation(s): Log likelihood -46.89557
Normalized cointegrating coefficients (standard error in parentheses)
INVD STO TTF
1.000000 0.000000 -5602.987
(1190.49)
0.000000 1.000000 -1.191955
(0.03999)
Adjustment coefficients (standard error in parentheses)
D(INVD) -0.469360 16768.14
(0.51525) (15875.6)
D(STO) 0.000134 -3.202397
(6.4E-05) (1.98138)
D(TTF) 0.000127 -2.930081
(5.8E-05) (1.78522)
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