求高手解惑,我做了VAR模型,然后EVIEWS6.0确定最优滞后阶数是3阶的,是不是接下来JJ协整检验的滞后阶数就是3-1=2阶呢,这个选项Lags interval 是填(1 2)还是填(2 2)?下面是我填(1 2)出来的结果 。请问这个结果拒绝了NONE,也拒绝了AT most 2,意味着什么呢?还有钥匙NONE,AT most 1,AT most 2都拒绝的话意味着什么呢?
Date: 10/04/12 Time: 20:47
Sample (adjusted): 1993 2011
Included observations: 19 after adjustments
Trend assumption: Linear deterministic trend
Series: LNEX LNGDP LNIM
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.989851 100.1158 29.79707 0.0000
At most 1 0.379038 12.89808 15.49471 0.1186
At most 2 * 0.183200 3.844857 3.841466 0.0499
Trace test indicates 1 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 * 0.989851 87.21767 21.13162 0.0000
At most 1 0.379038 9.053227 14.26460 0.2817
At most 2 * 0.183200 3.844857 3.841466 0.0499