用Eviews做Johansen协整,是打开group之后点的cointegration test,结果显示如下,Trace和Maximum Eigenvalue的结果不一样,但是都显示多个协整关系,请问这样的情况如何处理?另外,下面的协整方程中的Log likelihood为-62.03314,是否是正常的?谢谢!
Date: 03/04/15 Time: 20:52
Sample (adjusted): 1992 2013
Included observations: 22 after adjustments
Trend assumption: Linear deterministic trend
Series: SER01 SER02 SER03 SER04 SER05 SER06 SER07
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.999557 333.2203 125.6154 0.0000
At most 1 * 0.946773 163.3179 95.75366 0.0000
At most 2 * 0.859965 98.78749 69.81889 0.0001
At most 3 * 0.656727 55.53846 47.85613 0.0080
At most 4 * 0.563264 32.01538 29.79707 0.0273
At most 5 0.373055 13.78999 15.49471 0.0889
At most 6 0.147790 3.518287 3.841466 0.0607
Trace test indicates 5 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 * 0.999557 169.9025 46.23142 0.0000
At most 1 * 0.946773 64.53037 40.07757 0.0000
At most 2 * 0.859965 43.24903 33.87687 0.0029
At most 3 0.656727 23.52307 27.58434 0.1522
At most 4 0.563264 18.22539 21.13162 0.1216
At most 5 0.373055 10.27171 14.26460 0.1947
At most 6 0.147790 3.518287 3.841466 0.0607
Max-eigenvalue test indicates 3 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):
SER01 SER02 SER03 SER04 SER05 SER06 SER07
-5.762429 -0.784098 0.090789 -0.297435 -0.366009 0.012839 0.078640
16.73030 8.023440 -0.652955 9.778672 1.172580 0.022743 -0.559977
4.962791 5.480779 -0.426879 2.321036 0.462543 -0.111167 0.043088
2.871930 -0.108248 -0.316264 3.383957 0.108585 0.081359 0.167545
4.265316 4.731893 -0.176431 -5.678069 -0.588195 -0.022025 0.389695
9.541997 -3.526674 0.013104 1.895943 -0.022432 -0.153240 -0.256722
5.187175 -1.762148 0.094321 1.223058 0.335134 -0.099126 -0.165188
Unrestricted Adjustment Coefficients (alpha):
D(SER01) 0.009326 -0.011980 0.042074 -0.045514 -0.016775 0.007899 -0.013847
D(SER02) 0.057482 0.002199 0.070131 0.024378 -0.042362 0.098892 -0.049298
D(SER03) 0.616559 0.860558 2.063837 0.735435 0.585361 1.559420 -1.043664
D(SER04) -0.177399 -0.069986 0.095585 0.035370 0.077298 0.088821 -0.012831
D(SER05) 0.950997 0.284864 0.004059 -0.163813 0.608430 -0.078548 -0.042986
D(SER06) 0.126513 -1.269562 5.471279 -0.876851 -0.882140 1.322564 0.801210
D(SER07) -0.081573 0.521898 -0.226684 -0.660240 -0.026887 0.035562 0.138508
1 Cointegrating Equation(s): Log likelihood -62.03314
Normalized cointegrating coefficients (standard error in parentheses)
SER01 SER02 SER03 SER04 SER05 SER06 SER07
1.000000 0.136071 -0.015755 0.051616 0.063516 -0.002228 -0.013647
(0.00964) (0.00057) (0.00892) (0.00104) (0.00021) (0.00060)
Adjustment coefficients (standard error in parentheses)
D(SER01) -0.053742
(0.13682)
D(SER02) -0.331238
(0.36611)
D(SER03) -3.552879
(7.33368)
D(SER04) 1.022248
(0.35946)
D(SER05) -5.480053
(1.44127)
D(SER06) -0.729020
(11.0838)
D(SER07) 0.470058
(1.71068)
2 Cointegrating Equation(s): Log likelihood -29.76796
Normalized cointegrating coefficients (standard error in parentheses)
SER01 SER02 SER03 SER04 SER05 SER06 SER07
1.000000 0.000000 -0.006536 -0.159468 0.060914 -0.003649 -0.005794
(0.00069) (0.01852) (0.00212) (0.00041) (0.00118)
0.000000 1.000000 -0.067752 1.551282 0.019129 0.010444 -0.057711
(0.00387) (0.10405) (0.01193) (0.00229) (0.00662)
Adjustment coefficients (standard error in parentheses)
D(SER01) -0.254172 -0.103434
(0.41600) (0.18953)
D(SER02) -0.294443 -0.027426
(1.12418) (0.51217)
D(SER03) 10.84452 6.421196
(22.1202) (10.0778)
D(SER04) -0.148633 -0.422428
(1.04900) (0.47792)
D(SER05) -0.714189 1.539917
(4.19915) (1.91310)
D(SER06) -21.96918 -10.28546
(33.4604) (15.2443)
D(SER07) 9.201559 4.251375
(4.58631) (2.08949)
3 Cointegrating Equation(s): Log likelihood -8.143440
Normalized cointegrating coefficients (standard error in parentheses)
SER01 SER02 SER03 SER04 SER05 SER06 SER07
1.000000 0.000000 0.000000 1.364961 0.045244 0.038860 -0.115575
(0.24832) (0.03356) (0.00618) (0.01927)
0.000000 1.000000 0.000000 17.35256 -0.143291 0.451069 -1.195631
(2.66716) (0.36042) (0.06635) (0.20702)
0.000000 0.000000 1.000000 233.2240 -2.397282 6.503544 -16.79550
(38.7953) (5.24254) (0.96510) (3.01128)
Adjustment coefficients (standard error in parentheses)
D(SER01) -0.045368 0.127163 -0.009291
(0.37507) (0.19895) (0.01603)
D(SER02) 0.053601 0.356946 -0.026155
(1.11149) (0.58958) (0.04750)
D(SER03) 21.08691 17.73263 -1.386938
(20.4238) (10.8337) (0.87282)
D(SER04) 0.325736 0.101453 -0.011212
(0.97447) (0.51690) (0.04164)
D(SER05) -0.694043 1.562165 -0.101396
(4.36113) (2.31333) (0.18638)
D(SER06) 5.183638 19.70141 -1.495123
(20.7355) (10.9990) (0.88614)
D(SER07) 8.076572 3.008968 -0.251415
(4.62102) (2.45119) (0.19748)
4 Cointegrating Equation(s): Log likelihood 3.618097
Normalized cointegrating coefficients (standard error in parentheses)
SER01 SER02 SER03 SER04 SER05 SER06 SER07
1.000000 0.000000 0.000000 0.000000 0.059694 0.001140 -0.025760
(0.00264) (0.00106) (0.00072)
0.000000 1.000000 0.000000 0.000000 0.040404 -0.028460 -0.053829
(0.02061) (0.00825) (0.00563)
0.000000 0.000000 1.000000 0.000000 0.071632 0.058528 -1.449309
(0.29162) (0.11680) (0.07965)
0.000000 0.000000 0.000000 1.000000 -0.010586 0.027634 -0.065800
(0.00946) (0.00379) (0.00258)
Adjustment coefficients (standard error in parentheses)
D(SER01) -0.176081 0.132090 0.005103 -0.176285
(0.29830) (0.15634) (0.01358) (0.17013)
D(SER02) 0.123613 0.354307 -0.033865 0.249679
(1.11793) (0.58592) (0.05089) (0.63761)
D(SER03) 23.19903 17.65302 -1.619530 15.51065
(20.3206) (10.6503) (0.92495) (11.5899)
D(SER04) 0.427317 0.097624 -0.022398 -0.290054
(0.96927) (0.50801) (0.04412) (0.55283)
D(SER05) -1.164502 1.579898 -0.049588 1.957821
(4.33241) (2.27068) (0.19720) (2.47099)
D(SER06) 2.665385 19.79633 -1.217807 -2.720452
(20.4939) (10.7411) (0.93284) (11.6887)
D(SER07) 6.180408 3.080438 -0.042604 2.367361
(3.20526) (1.67992) (0.14590) (1.82812)
5 Cointegrating Equation(s): Log likelihood 12.73079
Normalized cointegrating coefficients (standard error in parentheses)
SER01 SER02 SER03 SER04 SER05 SER06 SER07
1.000000 0.000000 0.000000 0.000000 0.000000 0.016320 -0.018863
(0.00353) (0.00247)
0.000000 1.000000 0.000000 0.000000 0.000000 -0.018185 -0.049160
(0.00706) (0.00493)
0.000000 0.000000 1.000000 0.000000 0.000000 0.076744 -1.441032
(0.11203) (0.07829)
0.000000 0.000000 0.000000 1.000000 0.000000 0.024942 -0.067023
(0.00333) (0.00233)
0.000000 0.000000 0.000000 0.000000 1.000000 -0.254300 -0.115550
(0.05306) (0.03708)
Adjustment coefficients (standard error in parentheses)
D(SER01) -0.247631 0.052713 0.008063 -0.081036 0.006925
(0.29288) (0.16631) (0.01327) (0.18467) (0.02214)
D(SER02) -0.057075 0.153853 -0.026391 0.490214 0.041543
(1.12481) (0.63873) (0.05098) (0.70924) (0.08502)
D(SER03) 25.69578 20.42288 -1.722806 12.18693 1.473571
(20.6165) (11.7071) (0.93433) (12.9995) (1.55831)
D(SER04) 0.757018 0.463391 -0.036036 -0.728958 -0.014548
(0.90637) (0.51469) (0.04108) (0.57150) (0.06851)
D(SER05) 1.430645 4.458925 -0.156934 -1.496888 -0.387833
(3.06372) (1.73974) (0.13885) (1.93179) (0.23157)
D(SER06) -1.097220 15.62214 -1.062170 2.288399 1.419390
(20.5008) (11.6414) (0.92909) (12.9266) (1.54957)
D(SER07) 6.065729 2.953213 -0.037861 2.520025 0.481094
(3.28537) (1.86560) (0.14889) (2.07155) (0.24833)
6 Cointegrating Equation(s): Log likelihood 17.86664
Normalized cointegrating coefficients (standard error in parentheses)
SER01 SER02 SER03 SER04 SER05 SER06 SER07
1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.022942
(0.00210)
0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 -0.044615
(0.00444)
0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -1.460212
(0.07779)
0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 -0.073257
(0.00290)
0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 -0.051995
(0.03128)
0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.249921
(0.12163)
Adjustment coefficients (standard error in parentheses)
D(SER01) -0.172256 0.024855 0.008166 -0.066060 0.006747 -0.009374
(0.32410) (0.17311) (0.01314) (0.18503) (0.02191) (0.00317)
D(SER02) 0.886548 -0.194905 -0.025095 0.677707 0.039324 -0.019246
(1.11314) (0.59455) (0.04513) (0.63552) (0.07526) (0.01090)
D(SER03) 40.57576 14.92332 -1.702372 15.14350 1.438591 -0.393968
(21.1223) (11.2818) (0.85628) (12.0592) (1.42815) (0.20678)
D(SER04) 1.604547 0.150148 -0.034872 -0.560559 -0.016540 -0.026931
(0.86639) (0.46276) (0.03512) (0.49465) (0.05858) (0.00848)
D(SER05) 0.681143 4.735937 -0.157964 -1.645810 -0.386071 0.003545
(3.39368) (1.81263) (0.13758) (1.93754) (0.22946) (0.03322)
D(SER06) 11.52268 10.95789 -1.044839 4.795904 1.389723 -0.890055
(21.5432) (11.5066) (0.87335) (12.2996) (1.45661) (0.21090)
D(SER07) 6.405060 2.827798 -0.037395 2.587448 0.480297 -0.022552
(3.66714) (1.95869) (0.14866) (2.09366) (0.24795) (0.03590)