检验输出的结果如下:
Date: 02/27/12 Time: 22:12
Sample (adjusted): 1988 2010
Included observations: 23 after adjustments
Trend assumption: Linear deterministic trend
Series: LNEX LNFDIF LNIM
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 * 0.930907 81.85108 29.79707 0.0000
At most 1 * 0.577107 20.38801 15.49471 0.0084
At most 2 0.025469 0.593377 3.841466 0.4411
Trace test indicates 2 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 * 0.930907 61.46307 21.13162 0.0000
At most 1 * 0.577107 19.79463 14.26460 0.0060
At most 2 0.025469 0.593377 3.841466 0.4411
Max-eigenvalue test indicates 2 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):