第一个问题：我没有听说过，要对协整方程进行ADF检验的
协整检验有两种：E-G，这种的对回归的残差进行平稳性检验；J-J协整（你做的）直接得出协整检验结果

We can usevecstableto check whether we have correctly specified the number of cointegratingequations. As discussed in[TS]vecstable, the companion matrix of aVECMwith K endogenous variables andrcointegrating equations hasK-runit eigenvalues. If the process is stable, the moduliof the remainingreigenvalues are strictly less than one. Because there is no general distribution

我也遇到了这个问题，
https://www.coursehero.com/file/pnvmn1g/We-can-use-vecstable-to-check-whether-we-have-correctly-specified-the-number-of/
这是国外一个网站的解答 ，k个内生变量r个协整秩就会有k-r个单位圆上的单位根