要做一个变量冲击对系统内其他变量的影响,Johansen检验的结果表明,6维的内生变量列向量包含了6个协整向量,这个怎么解释啊。。。特征根迹检验和最大特征值检验的结果都一样。
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.802585 166.3004 103.8473 0.0000
At most 1 * 0.729112 120.8718 76.97277 0.0000
At most 2 * 0.680682 84.30248 54.07904 0.0000
At most 3 * 0.549930 52.33861 35.19275 0.0003
At most 4 * 0.501522 29.98478 20.26184 0.0017
At most 5 * 0.312497 10.49129 9.164546 0.0279
Trace test indicates 6 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values