各位童鞋,我对数据做ADF检验,结果是一阶差分后不存在单位根,滞后做协整检验的时候滞后区间该如何确定呢?
Date: 03/29/10 Time: 16:49
Sample: 1 31
Included observations: 30
Series: LNGDP LNEX LNG
Lags interval: No lags
Selected (0.05 level*) Number of Cointegrating Relations by Model
Data Trend: None None Linear Linear Quadratic
Test Type No Intercept Intercept Intercept Intercept Intercept
No Trend No Trend No Trend Trend Trend
Trace 1 2 2 2 1
Max-Eig 1 2 2 2 1
*Critical values based on MacKinnon-Haug-Michelis (1999)
Information Criteria by Rank and Model
Data Trend: None None Linear Linear Quadratic
Rank or No Intercept Intercept Intercept Intercept Intercept
No. of CEs No Trend No Trend No Trend Trend Trend
Log Likelihood by Rank (rows) and Model (columns)
0 53.22376 53.22376 91.36022 91.36022 100.1249
1 94.82977 101.5301 111.6919 113.0327 121.0898
2 99.14631 117.2222 121.4808 123.3823 125.1869
3 100.2557 121.4873 121.4873 126.7520 126.7520
Akaike Information Criteria by Rank (rows) and Model (columns)
0 -3.548251 -3.548251 -5.890681 -5.890681 -6.274996
1 -5.921985 -6.302004 -6.846125 -6.868847 -7.272652*
2 -5.809754 -6.881477 -7.098720 -7.092153 -7.145792
3 -5.483714 -6.699152 -6.699152 -6.850133 -6.850133
Schwarz Criteria by Rank (rows) and Model (columns)
0 -3.548251 -3.548251 -5.750562 -5.750562 -5.994757
1 -5.641745 -5.975058 -6.425766 -6.401781 -6.712173*
2 -5.249275 -6.227585 -6.398121 -6.298141 -6.305073
3 -4.642996 -5.718314 -5.718314 -5.729175 -5.729175
这是我取滞后区间为(0 0)的时候得到的结果
是什么意思呢?求高手指点