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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