crystal8832 发表于 2014-8-5 10:37 
请把协整公式列出,不然我也说不好。
这个是上证和汇率的
. vecrank lnsz lnus, trend(constant) lags(5)
Johansen tests for cointegration
Trend: constant Number of obs = 102
Sample: 2006m1 - 2014m6 Lags = 5
-------------------------------------------------------------------------------
5%
maximum trace critical
rank parms LL eigenvalue statistic value
0 18 517.10841 . 23.9224 15.41
1 21 524.89057 0.14152 8.3581 3.76
2 22 529.0696 0.07867
-------------------------------------------------------------------------------
上证汇率标普
. vecrank lnsz lnus lnsp500, trend(constant) lags(5)
Johansen tests for cointegration
Trend: constant Number of obs = 102
Sample: 2006m1 - 2014m6 Lags = 5
-------------------------------------------------------------------------------
5%
maximum trace critical
rank parms LL eigenvalue statistic value
0 39 716.2222 . 38.0852 29.68
1 44 728.63067 0.21597 13.2683* 15.41
2 47 735.10389 0.11920 0.3218 3.76
3 48 735.26481 0.00315
-------------------------------------------------------------------------------