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协整检验结果怎么看_ johansen协整检验结果怎么看

eviews培训 cdadata 32645℃

协整检验结果怎么看

关键词:johansen协整检验步骤johansen协整检验结果、eviews多变量协整检验、如何用eviews做协整检验

新学EVIEWS,不知Johansen协整检验结果如何分析,
原始数据序列如下:

SER_01

SER_10

SER_11

SER_12

45649.00

772.9700

33258.20

3.000000

44510.00

804.3600

32690.30

3.000000

46662.00

1141.640

32335.00

3.000000

50454.00

1572.660

32260.40

4.940000

49417.00

1836.270

32434.90

5.480000

51230.00

1961.200

32626.40

9.140000

50839.00

2011.730

32911.80

9.130000

46218.00

2031.800

32798.00

9.780000

45264.00

2113.020

32451.00

10.28000

45706.00

2236.500

31991.00

9.880000

43069.50

2319.330

31259.60

12.43000

46946.90

2513.760

30596.00

15.61000

48402.20

2851.870

29975.50

19.90000

49804.00

3155.410

28695.90

21.42000

50148.00

3822.870

27564.00

22.10000

经画图得知,有截距项,没有趋势项,
在Cointegration Test中,选项默认,
得结果如下:

Date:  03/13/12   Time: 11:46

Sample(adjusted): 1995 2007

Included observations: 13  after adjusting endpoints

Trend assumption: Linear  deterministic trend

Series: SER_01 SER_10 SER_11  SER_12

Lags interval (in first  differences): 1 to 1

Unrestricted Cointegration  Rank Test

Hypothesized

Trace

5 Percent

1 Percent

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Critical Value

None **

0.997628

147.0389

47.21

54.46

At most 1 **

0.963010

68.46469

29.68

35.65

At most 2 **

0.668225

25.60243

15.41

20.04

At most 3 **

0.579419

11.25955

  3.76

  6.65

*(**) denotes  rejection of the hypothesis at the 5%(1%) level

Trace test indicates 4  cointegrating equation(s) at both 5% and 1% levels

不存在协整关系,因为拒绝了至多有两个协整关系、至多有一个协整关系的原假设。协整关系应该不成立

———————————————————————

【这结果表明存在n个协整,即协整矩阵的秩是n,但这就意味着原来的序列是平稳的,而协整的前提是原来序列都是不平稳的,因此矛盾了。所以协整不成立。】

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