在做Johansen迹检验的时候遇到了疑惑,求各位大侠给指点一下迷津,检验结果如下:
Cointegration Rank Test Using Trace
5%
H0: H1: Critical Drift Drift in
Rank=r Rank>r Eigenvalue Trace Value in ECM Process
0 0 0.1826 213.7392 47.21 Constant Linear
1 1 0.1314 119.5725 29.38
2 2 0.0785 53.7962 15.34
3 3 0.0329 15.6070 3.84
Cointegration Rank Test Using Trace Under Restriction
5%
H0: H1: Critical Drift Drift in
Rank=r Rank>r Eigenvalue Trace Value in ECM Process
0 0 0.1827 213.8021 53.42 Constant Constant
1 1 0.1314 119.5862 34.80
2 2 0.0785 53.8013 19.99
3 3 0.0329 15.6076 9.13
我的问题是:为什么迹检验的统计量都大于临界值???这种是什么情况??之前我数据做过ADF检验,认为应该是一阶单整的。跪求指点