[求助]协整检验结果如何解释

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收藏 2009-03-27

请问各位：小弟在做一个国内棉花期货价格与其11个解释变量的协整结果显示如下：&nbsp;&nbsp;&nbsp;&nbsp; Unrestricted Cointegration Rank Test (Trace)&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Hypothesized&nbsp;&nbsp;Trace&nbsp;0.05&nbsp; No. of CE(s)&nbsp;Eigenvalue&nbsp;Statistic&nbsp;Critical Value&nbsp;Prob.** &nbsp;&nbsp;&nbsp;&nbsp; None *&nbsp; 0.936187&nbsp; 571.7564&nbsp; 334.9837&nbsp; 0.0000 At most 1 *&nbsp; 0.914966&nbsp; 453.4291&nbsp; 285.1425&nbsp; 0.0000 At most 2 *&nbsp; 0.856176&nbsp; 347.4467&nbsp; 239.2354&nbsp; 0.0000 At most 3 *&nbsp; 0.738053&nbsp; 264.0627&nbsp; 197.3709&nbsp; 0.0000 At most 4 *&nbsp; 0.723130&nbsp; 206.4593&nbsp; 159.5297&nbsp; 0.0000 At most 5 *&nbsp; 0.646251&nbsp; 151.2383&nbsp; 125.6154&nbsp; 0.0005 At most 6 *&nbsp; 0.575896&nbsp; 106.5541&nbsp; 95.75366&nbsp; 0.0073 At most 7&nbsp; 0.467792&nbsp; 69.66969&nbsp; 69.81889&nbsp; 0.0514 At most 8&nbsp; 0.334941&nbsp; 42.54865&nbsp; 47.85613&nbsp; 0.1439 At most 9&nbsp; 0.248749&nbsp; 25.00980&nbsp; 29.79707&nbsp; 0.1611 At most 10&nbsp; 0.174458&nbsp; 12.71115&nbsp; 15.49471&nbsp; 0.1258 At most 11 *&nbsp; 0.098678&nbsp; 4.467384&nbsp; 3.841466&nbsp; 0.0345 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Trace test indicates 7 cointegrating eqn(s) at the 0.05 level&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;* denotes rejection of the hypothesis at the 0.05 level&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;**MacKinnon-Haug-Michelis (1999) p-values&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Unrestricted Cointegration Rank Test (Maximum Eigenvalue)&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; Hypothesized&nbsp;&nbsp;Max-Eigen&nbsp;0.05&nbsp; No. of CE(s)&nbsp;Eigenvalue&nbsp;Statistic&nbsp;Critical Value&nbsp;Prob.** &nbsp;&nbsp;&nbsp;&nbsp; None *&nbsp; 0.936187&nbsp; 118.3273&nbsp; 76.57843&nbsp; 0.0000 At most 1 *&nbsp; 0.914966&nbsp; 105.9824&nbsp; 70.53513&nbsp; 0.0000 At most 2 *&nbsp; 0.856176&nbsp; 83.38398&nbsp; 64.50472&nbsp; 0.0003 At most 3&nbsp; 0.738053&nbsp; 57.60341&nbsp; 58.43354&nbsp; 0.0603 At most 4 *&nbsp; 0.723130&nbsp; 55.22096&nbsp; 52.36261&nbsp; 0.0248 At most 5&nbsp; 0.646251&nbsp; 44.68422&nbsp; 46.23142&nbsp; 0.0726 At most 6&nbsp; 0.575896&nbsp; 36.88444&nbsp; 40.07757&nbsp; 0.1097 At most 7&nbsp; 0.467792&nbsp; 27.12104&nbsp; 33.87687&nbsp; 0.2569 At most 8&nbsp; 0.334941&nbsp; 17.53885&nbsp; 27.58434&nbsp; 0.5339 At most 9&nbsp; 0.248749&nbsp; 12.29865&nbsp; 21.13162&nbsp; 0.5185 At most 10&nbsp; 0.174458&nbsp; 8.243767&nbsp; 14.26460&nbsp; 0.3545 At most 11 *&nbsp; 0.098678&nbsp; 4.467384&nbsp; 3.841466&nbsp; 0.0345 &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;Max-eigenvalue test indicates 3 cointegrating eqn(s) at the 0.05 level&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;* denotes rejection of the hypothesis at the 0.05 level&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;**MacKinnon-Haug-Michelis (1999) p-values&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;请问我是不是要对七个协整变量方程都要解释啊还是只挑第一个协整变量方程解释就可以了。更有意思的是结果显示国内期货棉花价格与纽约棉花期货价格成负相关，真不知怎么处理好