Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.997849 104.9270 47.85613 0.0000
At most 1 0.640834 25.08263 29.79707 0.1585
At most 2 0.582034 11.77102 15.49471 0.1682
At most 3 0.032565 0.430394 3.841466 0.5118
Trace test indicates 1 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 * 0.997849 79.84441 27.58434 0.0000
At most 1 0.640834 13.31161 21.13162 0.4240
At most 2 0.582034 11.34063 14.26460 0.1380
At most 3 0.032565 0.430394 3.841466 0.5118
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
如何看这个协整检验的结果?