[作业] johansen检验出来一个协整关系都没有？ [推广有奖]

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蛋小森森 发表于 2018-3-30 13:43:37 |AI写论文

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想做四只银行股的协整关系检验，已经用EG检验出其中两只有协整关系，并且都是一阶单整的时间序列。但是用jj检验出来不管选择哪种情况都是显示一个协整关系都没有？甚至删掉一个或两个变量以后P值还是巨大无比。。。是哪里出了问题呀？求好人解答！！
Date: 03/30/18 Time: 13:50
Sample (adjusted): 4 245
Included observations: 242 after adjustments
Trend assumption: Linear deterministic trend
Series: SERIES10 SERIES02 SERIES04 SERIES08
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

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

None    0.062976    27.71240    47.85613    0.8259
At most 1    0.034987    11.97116    29.79707    0.9329
At most 2    0.013343    3.352526    15.49471    0.9486
At most 3    0.000421    0.101875    3.841466    0.7496

Trace test indicates no cointegration 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    0.062976    15.74124    27.58434    0.6876
At most 1    0.034987    8.618631    21.13162    0.8619
At most 2    0.013343    3.250651    14.26460    0.9286
At most 3    0.000421    0.101875    3.841466    0.7496

Max-eigenvalue test indicates no cointegration 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):

SERIES10 SERIES02 SERIES04 SERIES08
-0.356763 -0.612895 -6.228647    16.92318
7.948608 -0.787129    1.168540 -6.568790
-3.762641    0.290024    6.470441    2.027615
3.868560 -0.044729 -8.404063    1.521692

Unrestricted Adjustment Coefficients (alpha):

D(SERIES10) -0.008716 -0.009799 -0.000902    0.000666
D(SERIES02)    0.029062 -0.034285 -0.025420    0.005087
D(SERIES04) -0.001248 -0.005761 -0.001308 -0.000113
D(SERIES08) -0.005525 -0.002553 -0.002367    2.72E-05

1 Cointegrating Equation(s): Log likelihood    1376.227

Normalized cointegrating coefficients (standard error in parentheses)
SERIES10 SERIES02 SERIES04 SERIES08
1.000000    1.717931    17.45876 -47.43530
   (0.49987)    (8.03720)    (12.1298)

Adjustment coefficients (standard error in parentheses)
D(SERIES10)    0.003109
   (0.00164)
D(SERIES02) -0.010368
   (0.00917)
D(SERIES04)    0.000445
   (0.00078)
D(SERIES08)    0.001971
   (0.00076)

2 Cointegrating Equation(s): Log likelihood    1380.537

Normalized cointegrating coefficients (standard error in parentheses)
SERIES10 SERIES02 SERIES04 SERIES08
1.000000    0.000000    1.090531 -3.366670
   (0.62634)    (0.61511)
0.000000    1.000000    9.527874 -25.65215
   (4.34812)    (4.27015)

Adjustment coefficients (standard error in parentheses)
D(SERIES10) -0.074781    0.013055
   (0.03623)    (0.00454)
D(SERIES02) -0.282888    0.009175
   (0.20385)    (0.02556)
D(SERIES04) -0.045348    0.005300
   (0.01716)    (0.00215)
D(SERIES08) -0.018318    0.005395
   (0.01683)    (0.00211)

3 Cointegrating Equation(s): Log likelihood    1382.162

Normalized cointegrating coefficients (standard error in parentheses)
SERIES10 SERIES02 SERIES04 SERIES08
1.000000    0.000000    0.000000 -2.919839
   (0.38508)
0.000000    1.000000    0.000000 -21.74823
   (3.52264)
0.000000    0.000000    1.000000 -0.409737
   (0.32987)

Adjustment coefficients (standard error in parentheses)
D(SERIES10) -0.071387    0.012793    0.037000
   (0.04008)    (0.00473)    (0.04124)
D(SERIES02) -0.187241    0.001802 -0.385561
   (0.22502)    (0.02656)    (0.23155)
D(SERIES04) -0.040426    0.004920 -0.007423
   (0.01896)    (0.00224)    (0.01951)
D(SERIES08) -0.009410    0.004709    0.016110
   (0.01857)    (0.00219)    (0.01910)