协整检验结果分析

9119

收藏 2015-02-05

johansen检验的结果是这样的，为什么迹检验法的检验结果显示：1、在5%的临界水平下，最多存在2个协整关系的时候（红色字体），p值是大于0.05的，是接受原假设的；到了最多存在3个协整关系的时候（蓝色字体），p值是小于0.05的，又拒绝原假设呢？
2、为什么迹检验的结果（绿色字体）写的是存在两个协整关系，下面有三个方程（绿色字体）呢？

Date: 02/05/15 Time: 13:03
Sample (adjusted): 2001 2013
Included observations: 13 after adjustments
Trend assumption: Linear deterministic trend
Series: LNY LNR LNN LNL
Lags interval (in first differences): No lags

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic       Critical Value    Prob.**

None *          0.913220          71.38224          47.85613       0.0001
At most 1 *    0.860580    39.60529    29.79707    0.0027
At most 2       0.483922    13.99187    15.49471    0.0832
At most 3 *    0.339527    5.392395    3.841466    0.0202

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *    0.913220    31.77696    27.58434    0.0136
At most 1 *    0.860580    25.61342    21.13162    0.0109
At most 2    0.483922    8.599474    14.26460    0.3210
At most 3 *    0.339527    5.392395    3.841466    0.0202

Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

LNY LNR LNN LNL
-20.16481    2.541668    5.873753    22.73954
0.649353 -0.406979 -8.812658    16.95556
5.881095 -2.151952    5.931433 -19.21651
7.828858    1.024882 -7.583222 -11.66450

Unrestricted Adjustment Coefficients (alpha):

D(LNY)    0.027508    0.008737    0.015021    0.008883
D(LNR) -0.089401    0.437679    0.028577 -0.004035
D(LNN)    0.000861    0.033558    0.003073    0.049176
D(LNL)    0.000818 -0.018861    0.026779    0.006486

1 Cointegrating Equation(s): Log likelihood    70.75439

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNR LNN LNL
1.000000 -0.126045 -0.291287 -1.127685
   (0.01133)    (0.05847)    (0.09939)

Adjustment coefficients (standard error in parentheses)
D(LNY) -0.554684
   (0.17823)
D(LNR)    1.802751
   (2.88455)
D(LNN) -0.017352
   (0.55891)
D(LNL) -0.016504
   (0.27320)

2 Cointegrating Equation(s): Log likelihood    83.56109

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNR LNN LNL
1.000000    0.000000    3.051812 -7.984770
   (0.48226)    (1.01179)
0.000000    1.000000    26.52312 -54.40200
   (3.79883)    (7.96993)

Adjustment coefficients (standard error in parentheses)
D(LNY) -0.549011    0.066359
   (0.17021)    (0.02172)
D(LNR)    2.086960 -0.405354
   (1.11388)    (0.14211)
D(LNN)    0.004439 -0.011470
   (0.52061)    (0.06642)
D(LNL) -0.028752    0.009756
   (0.24810)    (0.03165)

3 Cointegrating Equation(s): Log likelihood    87.86083

Normalized cointegrating coefficients (standard error in parentheses)
LNY LNR LNN LNL
1.000000    0.000000    0.000000 -1.934788
   (0.12700)
0.000000    1.000000    0.000000 -1.821961
   (0.99337)
0.000000    0.000000    1.000000 -1.982423
   (0.06928)

Adjustment coefficients (standard error in parentheses)
D(LNY) -0.460670    0.034034    0.173671
   (0.14959)    (0.02388)    (0.08640)
D(LNR)    2.255022 -0.466849 -4.212737
   (1.14602)    (0.18296)    (0.66196)
D(LNN)    0.022510 -0.018083 -0.272455
   (0.54192)    (0.08652)    (0.31302)
D(LNL)    0.128736 -0.047870    0.329862
   (0.19492)    (0.03112)    (0.11259)