johnson协整检验结果分析

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Date: 02/03/15   Time: 14:32
Sample (adjusted):  2009M10 2014M10
Included observations:  61 after adjustments
Trend assumption: Linear  deterministic trend
Series: Y SHIBOR M1 CPI  BOND BANKY
Lags interval (in first  differences): 1 to 3
Unrestricted  Cointegration Rank Test (Trace)
Hypothesized		Trace	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**
None *	0.490597	128.4475	95.75366	0.0001
At most 1 *	0.471650	87.30209	69.81889	0.0011
At most 2 *	0.306126	48.38433	47.85613	0.0446
At most 3	0.266319	26.09096	29.79707	0.1260
At most 4	0.111338	7.200409	15.49471	0.5545
At most 5	1.22E-06	7.42E-05	3.841466	0.9942
Trace test  indicates 3 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 *	0.490597	41.14541	40.07757	0.0378
At most 1 *	0.471650	38.91775	33.87687	0.0115
At most 2	0.306126	22.29338	27.58434	0.2057
At most 3	0.266319	18.89055	21.13162	0.1001
At most 4	0.111338	7.200335	14.26460	0.4657
At most 5	1.22E-06	7.42E-05	3.841466	0.9942
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

2个协正关系算不算通过协整检验？

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关键词：Johnson Johns 协整检验 结果分析 John adjusted johnson Series SHIBOR

表示存在两个协整

LIXUANHANK 发表于 2015-2-3 16:10
表示存在两个协整

几个问题问你下：Johnson 协整检验中，存在n和协整，无论n为多少都是通过协整检验么？

不是0就行

LIXUANHANK 发表于 2015-2-3 20:34
不是0就行

再追问一个，误差修正模型中，
CointEq数量对VEC有什么影响？如何确定CointEq数量？