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 |
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|
Sample(adjusted): 1995 2007 |
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|
Included observations: 13 after adjusting endpoints |
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|
Trend assumption: Linear deterministic trend |
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|
Series: SER_01 SER_10 SER_11 SER_12 |
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|
Lags interval (in first differences): 1 to 1 |
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|
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 |
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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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