已经做完ADF检验显示数据一阶差分下平稳,然后做协整检验步骤如下:先选好几个数据为一组,然后View-Cointegration Test-johansen Cointegration test,出来的数据如何看是否协整呢?怎么得出协整方程?可以加下QQ教下我吗。
Date: 08/01/14 Time: 13:42
Sample (adjusted): 1998Q3 2007Q4
Included observations: 38 after adjustments
Trend assumption: Linear deterministic trend
Series: LGDP LM2 NR
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 * 0.605576 56.50272 29.79707 0.0000
At most 1 * 0.419693 21.15020 15.49471 0.0063
At most 2 0.012310 0.470692 3.841466 0.4927
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 * 0.605576 35.35252 21.13162 0.0003
At most 1 * 0.419693 20.67951 14.26460 0.0042
At most 2 0.012310 0.470692 3.841466 0.4927
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):
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
这里也说好了 Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level 不拒绝存在着两个协整向量!