（求助）Johansen检验，两个数列0和1都拒绝了怎么办？

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收藏 2012-05-19

Date: 05/19/12 Time: 20:34Date: 05/19/12 Time: 20:34
Sample (adjusted): 6 1261
Included observations: 1256 after adjustments
Trend assumption: Linear deterministic trend (restricted)
Series: SH1 SZ1
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 *    0.197275    488.3350    25.87211    0.0000
At most 1 *    0.155541    212.3379    12.51798    0.0000

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 *    0.197275    275.9971    19.38704    0.0001
At most 1 *    0.155541    212.3379    12.51798    0.0000

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

各位大侠，这个JJ检验把r=0和1都拒绝了？两个数列难道存在两个协整关系么？我该怎么分析？或者是我做错了么？请问各位大侠我该怎么办？如果错了，可能在什么地方出错了，我该怎么改正呢？我在进行JJ检验时用的都是eviews的默认选项。谢谢各位了！