样本范围对协整产生影响，虽然我觉得太假了，但是也能接受~我这个时间序列有一个就是26个检验不平稳，28个检验就平稳了~~太假了~~~
如果选一种来做，只有以下两种可能出现协整关系，我都把结果贴出来，
一种是：
Date: 06/01/10   Time: 20:58   
Sample (adjusted): 1982 2006   
Included observations: 25 after adjustments   
Trend assumption: No deterministic trend   
Series: I E     
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 *  0.321053  16.08436  12.32090  0.0112
At most 1 *  0.225984  6.404076  4.129906  0.0135
   
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  0.321053  9.680289  11.22480  0.0923
At most 1 *  0.225984  6.404076  4.129906  0.0135
   
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):     
   
I E   
-0.167106  30.93799   
-0.013387  22.34596   
   
   
Unrestricted Adjustment Coefficients (alpha):     
   
D(I)  0.166404 -0.251405  
D(E)  0.000342  0.000900  
   
   
1 Cointegrating Equation(s):   Log likelihood  109.9002
   
Normalized cointegrating coefficients (standard error in parentheses)   
I E   
1.000000 -185.1396   
  (36.7435)   
   
Adjustment coefficients (standard error in parentheses)   
D(I) -0.027807   
  (0.02072)   
D(E) -5.72E-05   
  (7.0E-05)   
   
第二种是：
Date: 06/01/10   Time: 21:00   
Sample (adjusted): 1982 2006   
Included observations: 25 after adjustments   
Trend assumption: No deterministic trend (restricted constant)   
Series: I E     
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 *  0.389253  20.91848  20.26184  0.0406
At most 1  0.290834  8.591656  9.164546  0.0641
   
Trace test indicates 1 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  0.389253  12.32682  15.89210  0.1678
At most 1  0.290834  8.591656  9.164546  0.0641
   
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):     
   
I E C  
0.126204  81.07382 -11.96807  
-0.240613  1.525440  5.808453  
   
   
Unrestricted Adjustment Coefficients (alpha):     
   
D(I)  0.359905 -0.098212  
D(E) -0.000539  0.000966  
   
   
1 Cointegrating Equation(s):   Log likelihood  111.2235
   
Normalized cointegrating coefficients (standard error in parentheses)   
I E C  
1.000000  642.4006 -94.83078  
  (173.500)  (17.2193)  
   
Adjustment coefficients (standard error in parentheses)   
D(I)  0.045422   
  (0.01308)   
D(E) -6.80E-05   
  (5.1E-05)   
   
都请大家帮我分析分析哈~


6# lihaiyangboa

http://www.pinggu.org/bbs/thread-805402-1-1.html