请问各位大侠,小弟做协整检验,用eviews 6.0默认的critical value0.05时,有2个协整,但是 70.11863与 69.81889非常接近,如果critical value 改为 0.01时,就只有1个协整。小弟的论文中是 只需要一条协整方程,想问是否可以 更改critical value 来得出自己想要的 结果?
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.752547 142.7384 95.75366 0.0000
At most 1 * 0.462478 70.11863 69.81889 0.0473
At most 2 0.297721 37.83778 47.85613 0.3091
At most 3 0.211304 19.45973 29.79707 0.4602
At most 4 0.127880 7.116244 15.49471 0.5642
At most 5 2.21E-05 0.001151 3.841466 0.9723
调整后,
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.01
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.752547 142.7384 104.9615 0.0000
At most 1 0.462478 70.11863 77.81884 0.0473
At most 2 0.297721 37.83778 54.68150 0.3091
At most 3 0.211304 19.45973 35.45817 0.4602
At most 4 0.127880 7.116244 19.93711 0.5642
At most 5 2.21E-05 0.001151 6.634897 0.9723