两变量,原始序列不稳定,一阶差分稳定,无约束VAR模型lag length 是7, 所以协整检验是用的6 ,那么下面的结果是不是说明两个变量间有协整关系呢Included observations: 1222 after adjustments Trend assumption: Linear deterministic trend
Series: LNSH LNSP
Lags interval (in first differences): 1 to 6
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.011433 16.73695 15.49471 0.0324
At most 1 0.002195 2.685062 3.841466 0.1013
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