对两个变量协整关系进行痕迹检验,非约束条件下r=1的TRACE值大于5%控制值,而约束条件TRACE值小于5%控制值,怎么判断?程序输出结果如下:
Cointegration Rank Test Using Trace
5%
H0: H1: Critical Drift Drift in
Rank=r Rank>r Eigenvalue Trace Value n ECM Process
0 0 0.6322 31.5042 15.34 Constant Linear
1 1 0.3089 8.4984 3.84
Cointegration Rank Test Using Trace Under Restriction
5%
H0: H1: Critical Drift Drift in
Rank=r Rank>r Eigenvalue Trace Value in ECM Process
0 0 0.6326 31.6733 19.99 Constant Constant
1 1 0.3133 8.6442 9.13
Hypothesis of the Restriction
Drift Drift in
Hypothesis in ECM Process
H0 Constant Constant
H1 Constant Linear
Hypothesis Test of the Restriction
Restricted
Rank Eigenvalue Eigenvalue DF Chi-Square Pr > ChiSq
0 0.6322 0.6326 2 0.17 0.9189
1 0.3089 0.3133 1 0.15 0.7026