[问答] 如何看Johansen协整检验结果 [推广有奖]

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ZY963 发表于 2015-3-9 16:01:44 |AI写论文

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Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *    0.997849    104.9270    47.85613    0.0000
At most 1    0.640834    25.08263    29.79707    0.1585
At most 2    0.582034    11.77102    15.49471    0.1682
At most 3    0.032565    0.430394    3.841466    0.5118

Trace test indicates 1 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 *    0.997849    79.84441    27.58434    0.0000
At most 1    0.640834    13.31161    21.13162    0.4240
At most 2    0.582034    11.34063    14.26460    0.1380
At most 3    0.032565    0.430394    3.841466    0.5118

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
如何看这个协整检验的结果？