三个变量遇到拒绝全部假设时,是不是说明协整方程设定有误或者单位根检验有误??
(虽然软件结果显示 Trace test indicates 3 cointegrating eqn(s) at the 0.05 level )
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.460450 40.29087 29.79707 0.0022
At most 1 * 0.358713 19.31221 15.49471 0.0126
At most 2 * 0.116380 4.206751 3.841466 0.0403