本人大菜鸟一名,想求各位高手相助,看看下面协整分析的结果,说明有几个协整关系?以及标准化的协整系数方程应该怎么表示出来?
Date: 06/01/10 Time: 02:45
Sample (adjusted): 1986 2008
Included observations: 23 after adjustments
Trend assumption: Linear deterministic trend
Series: ENGLE I1 I2 I3
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 * 0.670343 56.65688 47.85613 0.0060
At most 1 * 0.556195 31.13375 29.79707 0.0349
At most 2 0.301586 12.44924 15.49471 0.1366
At most 3 * 0.166672 4.193545 3.841466 0.0406
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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.670343 25.52313 27.58434 0.0897
At most 1 0.556195 18.68451 21.13162 0.1063
At most 2 0.301586 8.255695 14.26460 0.3533
At most 3 * 0.166672 4.193545 3.841466 0.0406
Max-eigenvalue test indicates no cointegration 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):
迹检验说在5%的显著性水平下有2个协整Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
最大特征值检验说在5%的显著性水平下没有协整Max-eigenvalue test indicates no cointegration at the 0.05 level