协整结果如下,存在协整关系么?是怎样判断的?见笑了,还没入门,呵呵。 害怕如此低级的问题会浪费网络空间,但的确自己弄不太明白,有哪位前辈帮我看看,万分感谢了!
Series: DFDI DX2 DX3
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.769406 58.95618 29.79707 0.0000
At most 1 * 0.488024 26.68010 15.49471 0.0007
At most 2 * 0.419145 11.95159 3.841466 0.0005
Trace test indicates 3 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 * 0.769406 32.27609 21.13162 0.0009
At most 1 * 0.488024 14.72850 14.26460 0.0422
At most 2 * 0.419145 11.95159 3.841466 0.0005
Max-eigenvalue test indicates 3 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 Cointegrating Coefficients (normalized by b'*S11*b=I):