悬赏 5 个论坛币 未解决
Johansen tests for cointegration
Trend: constant Number of obs = 27
Sample: 1942m3 - 1944m5 Lags = 2
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5%
maximum trace critical
rank parms LL eigenvalue statistic value
0 6 -367.1278 . 15.4619 15.41
1 9 -359.44065 0.43415 0.0876* 3.76
2 10 -359.39686 0.00324
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rank=0的时候迹统计量大于5%,但是rank=1的时候有星号,所以有些不明白到底存在几个协整关系?如何判断?求大神指教。
我用eviews做的结果如下
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.951309 86.55428 15.49471 0.0000
At most 1 * 0.264169 7.975631 3.841466 0.0047
Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
为什么和stata做出来的结果不同,这与eviews在协整前选择的(1)-(6)的选项有关吗?