对汇率和股价做协整检验，但是结果很奇怪，E-G两步法得到的明显不协整，但Johansen检验却协整，求教这种情况下应该怎么进一步处理？谢谢！这个为johansen检验，结果是显著的；
| Unrestricted Cointegration Rank Test (Trace) | |
| | | | | |
| | | | | |
| Hypothesized | | Trace | 0.05 | |
| No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** |
| | | | | |
| | | | | |
| None * | 0.032888 | 86.55395 | 20.26184 | 0.0000 |
| At most 1 | 0.003369 | 7.934408 | 9.164546 | 0.0851 |
| | | | | |
| | | | | |
| Trace test indicates 1 cointegrating eqn(s) at the 0.05 level |
| * denotes rejection of the hypothesis at the 0.05 level |
这个为E-G两步法的，结果不显著：
| Null Hypothesis: RESID01 has a unit root | |
| Exogenous: Constant | | |
| Lag Length: 13 (Automatic - based on AIC, maxlag=26) |
| | | | | |
| | | | | |
| | | | t-Statistic | Prob.* |
| | | | | |
| | | | | |
Augmented Dickey-Fuller test statistic | -1.354520 | 0.6059 |
| Test critical values: | 1% level | | -3.432947 | |
| | 5% level | | -2.862573 | |
| | 10% level | | -2.567365 | |
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