各位大侠好,我做Johansen检验结果迹统计量、最大特征值统计量结果不一致该怎么办?
结果如下:
Series: LNIAV D(LNP) D(LNM2) LNCPI LNMTKC D(LNSYTRQ) |
Lags interval (in first differences): 1 to 2 |
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Unrestricted Cointegration Rank Test (Trace) |
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Hypothesized | | Trace | 0.05 |
No. of CE(s) | Eigenvalue | Statistic | Critical Value |
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None * | 0.444923 | 122.6241 | 95.75366 |
At most 1 * | 0.369165 | 82.59594 | 69.81889 |
At most 2 * | 0.292136 | 51.26762 | 47.85613 |
At most 3 | 0.202490 | 27.77343 | 29.79707 |
At most 4 | 0.110274 | 12.38766 | 15.49471 |
At most 5 * | 0.063241 | 4.442416 | 3.841466 |
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Trace test indicates 3 cointegrating eqn(s) at the 0.05 level 迹统计量判断变量LNIAV 、D(LNP)、D(LNM2)、 LNCPI、 LNMTKC、D(LNSYTRQ) 之间存在3个协整关系。 |