菜鸟刚刚接触johansen协整检验,结果不太会看,我使用了准则判断出来滞后期为1,在进行协整时选择了滞后项为1-1=0,选择了带截距项,不带趋势项的选项,结果如下,这是什么意思呢?怎么0、1、2阶都是拒绝了呢?那存在几个协整关系?
谢谢大师回答~~~
Sample (adjusted): 2006M03 2011M12
Included observations: 70 after adjustments
Trend assumption: Linear deterministic trend
Series: DLNRAWMILK DLNFODDER DLNCORN
Lags interval (in first differences): No lags
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.514949 93.88526 29.79707 0.0000
At most 1 * 0.311438 43.24021 15.49471 0.0000
At most 2 * 0.216956 17.11969 3.841466 0.0000
Trace test indicates 3 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 * 0.514949 50.64505 21.13162 0.0000
At most 1 * 0.311438 26.12052 14.26460 0.0004
At most 2 * 0.216956 17.11969 3.841466 0.0000
Max-eigenvalue test indicates 3 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values