第一个就可以了

 楼主问的问题真好，我也被这个问题困扰了好长时间，然后我去问老师，老师丢给我一句：这个主观性太强，自己判断。。。。我晕了就

在johanson协整检验时的５个选项分别代表五种模型，样本数据不存在趋势的情况（模型1和模型2），样本数据存在线性趋势的情况（模型3和模型4），样本数据存在二次趋势项的情况（模型5）。根据具体情况采用相应的模型。最笨的办法是从模型1到模型5依次进行检验。如果5个都不能通过，则不存在协整关系。

关键是那5个模型作出的结果的是有的存在协整关系，有的没有，此时我应该如何判定到底选择哪一个呢？

你需要先判断一下你的时间序列数据有截距项或者有趋势项没有，除非实在无法做出判断才选最后一个
我本人做的时候大多选2和3，最后那个一般不选

一般选择第三个

一般选3

    这个我也是很迷糊，看了很多操作的书（很垃圾，几乎都是回避）。文献中一般是根据ADF检验时数据的选择，这个也是比较麻烦的，因为有些数据有趋势，有常数，有些没有，不是所有数据一致。所以只能是参照。还要检验5种协整出来的VAR的残差（LM检验），正态性检验和异方差检验，综合考虑。如果这些检验还是没法判断，那么只能根据主观选了。

    希望大家讨论，集思广益啊！

要根据adf检验的数据生成来选

如果不能确定，就先选择最后一个summary of all 5 trend assumption(第六个)

有的国外的教材说，模型1和5实际情况中是不怎么碰到的，往往用的是模型2,3,4. 在筛选哪个模型最合适的时候，可以参照Pantula principle test

哎！！高手在哪里啊？我现在也在做这个玩意，烦死了。不知道咋整。

he followings are extracted from the EVIEWS4 Manual:

Deterministic Trend Specification

Your series may have nonzero means and deterministic trends as well as stochastic trends. Similarly, the cointegrating equations may have intercepts and deterministic trends. The asymptotic distribution of the LR test statistic for cointegration does not have the usual distribution and depends on the assumptions made with respect to deterministic trends. Therefore, in order to carry out the test, you need to make an assumption regarding the trend underlying your data.

For each row case in the dialog, the COINTEQ column lists the deterministic variables that appear inside the cointegrating relations (error correction term), while the OUTSIDE column lists the deterministic variables that appear in the VEC equation outside the cointegrating relations. Cases 2 and 4 do not have the same set of deterministic terms in the two columns. For these two cases, some of the deterministic term is restricted to belong only in the cointegrating relation. For cases 3 and 5, the deterministic terms are common in the two columns and the decomposition of the deterministic effects inside and outside the cointegrating space is not uniquely identified; see the technical discussion below.

In practice, cases 1 and 5 are rarely used. You should use case 1 only if you know that all series have zero mean. Case 5 may provide a good fit in-sample but will produce implausible forecasts out-of-sample. As a rough guide, use case 2 if none of the series appear to have a trend. For trending series, use case 3 if you believe all trends are stochastic; if you believe some of the series are trend stationary, use case 4.

If you are not certain which trend assumption to use, you may choose the Summary of all 5 trend assumptions option (case 6) to help you determine the choice of the trend assumption. This option indicates the number of cointegrating relations under each of the 5 trend assumptions and you will be able to see how sensitive the results of the test are to the assumption of trend.

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