整协检验还挺正常的,但到VEC的时候就弹出个对话框说VEC specification requires at least 2 series 呢???我有两个时间序列,求高人指点啦!下面是我做的协整检验Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 1.000000 110.6911 15.49471 0.0001
At most 1 0.114425 0.850629 3.841466 0.3564
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 * 1.000000 109.8405 14.26460 0.0001
At most 1 0.114425 0.850629 3.841466 0.3564
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
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
LNX LNY
6.62E+09 -1.04E+11
1.67E+13 -8.68E+11
Unrestricted Adjustment Coefficients (alpha):
D(LNX) -1.37E-13 8.10E-17
D(LNY) 9.57E-12 -5.91E-16
1 Cointegrating Equation(s): Log likelihood 465.2120
Normalized cointegrating coefficients (standard error in parentheses)
LNX LNY
1.000000 -15.72766
(NA)
Adjustment coefficients (standard error in parentheses)
D(LNX) -0.000905
(NA)
D(LNY) 0.063386
(NA)


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