有6个变量,协整检验结果显示存在3个协整关系,这就可以回归了吗?还是要6个协整才行?那样的话,对数据要求太高了。
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.876917 143.6493 88.80380 0.0000
At most 1 * 0.700551 80.80251 63.87610 0.0010
At most 2 * 0.551363 44.62818 42.91525 0.0333
At most 3 0.348335 20.58192 25.87211 0.1978
At most 4 0.227281 7.735188 12.51798 0.2741
Trace test indicates 3 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values