[问答] 菜鸟求助-看一个协整检验的结果，表明什么？ [推广有奖]

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wangyibin819 发表于 2010-3-21 00:11:12 |AI写论文

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数据都是一阶单整的，这个是协整检验后的结果：
Date: 03/21/10 Time: 00:10
Sample (adjusted): 6 394
Included observations: 389 after adjustments
Trend assumption: Linear deterministic trend
Series: SHANDONG GOLD_PRICE
Lags interval (in first differences): 1 to 4

Unrestricted Cointegration Rank Test (Trace)

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

None  0.022346  9.670995  15.49471  0.3069
At most 1  0.002260  0.879998  3.841466  0.3482

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  0.022346  8.790998  14.26460  0.3040
At most 1  0.002260  0.879998  3.841466  0.3482

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):

SHANDONG GOLD_PRICE
-0.114876  0.013007
0.001408  0.008727

Unrestricted Adjustment Coefficients (alpha):

D(SHANDONG)  0.415492 -0.006392
D(GOLD_PRICE)  0.299633 -0.706946

1 Cointegrating Equation(s): Log likelihood -2544.753

Normalized cointegrating coefficients (standard error in parentheses)
SHANDONG GOLD_PRICE
1.000000 -0.113225
  (0.02628)

Adjustment coefficients (standard error in parentheses)
D(SHANDONG) -0.047730
  (0.01624)
D(GOLD_PRICE) -0.034421
  (0.08853)

请问这表示什么？