Nonparametric cointegration analysis



Table 5: Acceptance frequencies (%)

(500 simulations, 10% significance level)

Nonpara-

Johansen

metric

p = 6

p 8 8

p 1 10

r о O

9.6

21.2

14.6

32.2

r ι 1

79.2

58.0

70.4

56.2

r 2 2

11.2

20.8

15.0

11.6

Test of H t =<*)

(1,-0.40)

20.960

10.345

5.398

4.626

(1,-0.50)

40.152

17.241

11.648

8.897

(1,-0.60)

63.384

40.000

25.568

21.352

(1,-0.65)

75.758

67.586

51.705

37.722

(1,-0.70)

85.859

80.690

68.466

55.872

(1,-0.75)

90.404

42.414

43.182

39.858

(1,-0.80)

90.909

15.517

15.625

18.149

(1,-0.90)

82.071

1.379

1.705

4.626

(1,-1.00)

66.414

0.690

1.420

3.203

(*) only for the cases with test result r = 1

36



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