共和分検定の方法と結果はわかったのですが、結果の読み方がわからないので（ランクとか）
まずは教科書で共和分の詳しい概念を読むことにします。
●Johansenの共和分検定（固有値）
> tmydata.vecm<-ca.jo(tmydata,ecdet="none",type="eigen",K=2,spec="longrun")
> summary(tmydata.vecm)
######################
# Johansen-Procedure #
######################
Test type: maximal eigenvalue statistic (lambda max) , with linear trend
Eigenvalues (lambda):
[1] 0.19031127 0.08328484
Values of teststatistic and critical values of test:
test 10pct 5pct 1pct
r <= 1 | 2.87 6.50 8.18 11.65
r = 0 | 6.97 12.91 14.90 19.19
Eigenvectors, normalised to first column:
(These are the cointegration relations)
inflation.l2 shitsugyo.l2
inflation.l2 1.00000000 1.00000000
shitsugyo.l2 0.01024485 0.04666443
Weights W:
(This is the loading matrix)
inflation.l2 shitsugyo.l2
inflation.d -0.4875411 0.0126644
shitsugyo.d 4.5253922 -2.1201067
●Johansenの共和分検定（トレース）
> tmydata.vecm<-ca.jo(tmydata,ecdet="none",type="trace",K=2,spec="longrun")
> summary(tmydata.vecm)
######################
# Johansen-Procedure #
######################
Test type: trace statistic , with linear trend
Eigenvalues (lambda):
[1] 0.19031127 0.08328484
Values of teststatistic and critical values of test:
test 10pct 5pct 1pct
r <= 1 | 2.87 6.50 8.18 11.65
r = 0 | 9.84 15.66 17.95 23.52
Eigenvectors, normalised to first column:
(These are the cointegration relations)
inflation.l2 shitsugyo.l2
inflation.l2 1.00000000 1.00000000
shitsugyo.l2 0.01024485 0.04666443
Weights W:
(This is the loading matrix)
inflation.l2 shitsugyo.l2
inflation.d -0.4875411 0.0126644
shitsugyo.d 4.5253922 -2.1201067
まずは教科書で共和分の詳しい概念を読むことにします。
●Johansenの共和分検定（固有値）
> tmydata.vecm<-ca.jo(tmydata,ecdet="none",type="eigen",K=2,spec="longrun")
> summary(tmydata.vecm)
######################
# Johansen-Procedure #
######################
Test type: maximal eigenvalue statistic (lambda max) , with linear trend
Eigenvalues (lambda):
[1] 0.19031127 0.08328484
Values of teststatistic and critical values of test:
test 10pct 5pct 1pct
r <= 1 | 2.87 6.50 8.18 11.65
r = 0 | 6.97 12.91 14.90 19.19
Eigenvectors, normalised to first column:
(These are the cointegration relations)
inflation.l2 shitsugyo.l2
inflation.l2 1.00000000 1.00000000
shitsugyo.l2 0.01024485 0.04666443
Weights W:
(This is the loading matrix)
inflation.l2 shitsugyo.l2
inflation.d -0.4875411 0.0126644
shitsugyo.d 4.5253922 -2.1201067
●Johansenの共和分検定（トレース）
> tmydata.vecm<-ca.jo(tmydata,ecdet="none",type="trace",K=2,spec="longrun")
> summary(tmydata.vecm)
######################
# Johansen-Procedure #
######################
Test type: trace statistic , with linear trend
Eigenvalues (lambda):
[1] 0.19031127 0.08328484
Values of teststatistic and critical values of test:
test 10pct 5pct 1pct
r <= 1 | 2.87 6.50 8.18 11.65
r = 0 | 9.84 15.66 17.95 23.52
Eigenvectors, normalised to first column:
(These are the cointegration relations)
inflation.l2 shitsugyo.l2
inflation.l2 1.00000000 1.00000000
shitsugyo.l2 0.01024485 0.04666443
Weights W:
(This is the loading matrix)
inflation.l2 shitsugyo.l2
inflation.d -0.4875411 0.0126644
shitsugyo.d 4.5253922 -2.1201067