Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.777409 133.2573 47.85613 0.0000
At most 1 * 0.690351 85.18000 29.79707 0.0000
At most 2 * 0.609585 47.66586 15.49471 0.0000
At most 3 * 0.422481 17.56845 3.841466 0.0000
Trace test indicates 4 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 * 0.777409 48.07735 27.58434 0.0000
At most 1 * 0.690351 37.51413 21.13162 0.0001
At most 2 * 0.609585 30.09742 14.26460 0.0001
At most 3 * 0.422481 17.56845 3.841466 0.0000
Max-eigenvalue test indicates 4 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
这个结果说明协整关系是几个?为什么全部都带有星号的?