Nonparametric cointegration analysis



Table 3: Critical values of the trace test (m = 2q, Fk(x) = cos(2kπx)}:
s=
1              s-2               s-3               s =4

qr20% 10% 5% 20% 10% 5% 20% 10% 5% 20% 10% 5%
2  1  1.91  2.89  4.70

3  1  2.24  3.14 4.44

2  1.45  1.82  2.35  3.23  4.11  5.36

4 1 2.32  3.14 4.14

2  1.71  2.17 2.76 3.77 4.77 5.96

3  1.29  1.53  1.83  2.71  3.16 3.70 4.37  5.20 6.26

5  1  2.37  3.12  4.03

2  1.87  2.32 2.86 4.12 5.06 6.16

3  1.51  1.80 2.14 3.14 3.68 4.32 5.05 5.97 6.96

4 1.22  1.39  1.58 2.50 2.79 3.16 3.87 4.32 4.89 5.38 6.08 6.96

Table 4: Critical values of the lambda-max test (m ~ 2 q, Fk(x ) = cos(2 kπ x )}:
s=
1                s-2               s-3                s=4

qr20% 10% 5% 20% 10% 5% 20% 10% 5% 20% 10% 5%
2  1  1.91  2.89 4.70

3  1 2.24 3.14 4.44

2  1.45  1.82 2.35 2.23  3.11  4.36

4  1  2.31  3.11  4.16

2  1.71  2.15 2.72 2.68  3.58 4.87

3  1.29  1.52  1.79  1.74 2.18 2.78 2.33  3.14 4.27

5  1  2.41  3.13  4.08

2  1.85  2.31  2.85 2.85  3.71  4.78

3  1.50  1.79 2.13 2.08 2.60 3.22 2.83  3.73 4.84

4  1.22  1.38  1.58  1.50  1.78 2.13  1.86  2.31  2.85 2.41 3.12 4.02

35



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