我用Y1到Y5五个序列来解释Y,每个序列都是非平稳的,ADF判断回归方程的残差也是平稳的,为此想建立误差校正模型。通过Johansen 协整检验时其结论为
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.841345 228.2222 95.75366 0.0000
At most 1 * 0.798219 149.0582 69.81889 0.0000
At most 2 * 0.589697 80.23347 47.85613 0.0000
At most 3 * 0.425471 41.92647 29.79707 0.0013
At most 4 * 0.337603 18.09569 15.49471 0.0198
At most 5 0.008899 0.384389 3.841466 0.5353
Unrestricted Cointegration Rank Test (Maximum igenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.841345 79.16396 40.07757 0.0000
At most 1 * 0.798219 68.82472 33.87687 0.0000
At most 2 * 0.589697 38.30700 27.58434 0.0015
At most 3 * 0.425471 23.83078 21.13162 0.0203
At most 4 * 0.337603 17.71130 14.26460 0.0137
At most 5 0.008899 0.384389 3.841466 0.5353
我的问题是:1 这种多变量,并且协整关系不是1的适不适合用误差校正模型EMC,还是应该用向量误差修正模型
2 本例中协整关系是5代表什么意思
请有兴趣的朋友帮忙看看