表9-4格兰杰因果关系 检验结果 Series:RSHANGHAI RSP500 Sample (adjusted):2001M01 2010M10 Included observations:118 after adjustments Null hypothesis:Series are not cointegrated Cointegrating equation deterministics:C Automatic lags specification based on Akaike criterion(maxlag-6) Dependent tau-statistic Prob. z-statistic Prob.* RSHANGHAI -2.924 0.138 -27.902 0.007 RSP500 -2.248 0.403 -10.724 0.306 *MacKinnon (1996)p-values.表9-4格兰杰因果关系 检验结果