Nonparametric cointegration analysis



TABLES

Table

A.1: Fractiles

of the

lambda-min test

statistic

q-

rm

20 %

10 %

5%

m

20 %

10 %

5%

1

1

.10927

.02490

.00598

2

.24145 .

11106

.05416

3

.34138

.18732

.11052

4

.40009 .

24428

.15818

5

.44898

.29513

.19710

6

.47848 .

32682

.23884

7

.52024

.36133

.25962

8

.54094 .

38633

.28506

9

.55668

.41246

.31644

10

.57481 .

42687

.33316

11

.60317

.45547

.35829

12

.60966 .

46685

.37801

13

.62288

.48238

.39139

14

.63239 .

49416

.40401

15

.64366

.51156

.42575

16

.65304 .

51782

.42674

17

.65581

.52710

.43630

18

.67318 .

54237

.44917

19

.66888

.54293

.46049

20

.68914 .

56646

.47641

2

2

.01680 .

00451

.00115

3

.07695

.03429

.01691

4

.13448 .

07598

.04622

5

.18198

.11266

.07456

6

.22009 .

14202

.10115

7

.25860

.18104

.12877

8

.28385 .

20510

.15549

9

.30867

.22996

.17613

10

.33487 .

25390

.19884

11

.35873

.27751

.22201

12

.37111 .

29057

.23197

13

.39327

.31205

.24751

14

.40791 .

32389

.26502

15

.41789

.33326

.27669

16

.42895 .

34733

.29278

17

.44201

.36213

.30543

18

.45990 .

37446

.31541

19

.46495

.38068

.32593

20

.47274 .

39531

.34064

3

3

.00647

.00148

.00035

4

.03702 .

01696

.00842

5

.07389

.04309

.02562

6

.10887 .

06916

.04553

7

.13921

.09427

.06512

8

.17107 .

12133

.09162

9

.19590

.14465

.10972

10

.21724 .

16459

.12784

11

.23632

.18167

.14391

12

.25775 .

19926

.16162

13

.27382

.21732

.17629

14

.29270 .

23328

.19104

15

.30309

.24746

.20532

16

.31875 .

26103

.21643

17

.33175

.27222

.23120

18

.34300 .

28312

.24172

19

.35170

.29115

.24852

20

.36621 .

30316

.25803

4

4

.00318 .

00077

.00018

5

.02337

.01107

.00543

6

.04804 .

02784

.01696

7

.07363

.04634

.03141

8

.10015 .

06783

.04832

9

.12201

.08748

.06562

10

.14265 .

10626

.08136

11

.16247

.12395

.09599

12

.18079 .

13703

.11037

13

.19592

.15346

.12478

14

.21619 .

17281

.13926

15

.22979

.18428

.15159

16

.24584 .

19860

.16613

17

.25364

.20715

.17483

18

.27008 .

22414

.18747

19

.28262

.23834

.20272

20

.29298 .

24514

.21046

5

5

.00202

.00050

.00012

6

.01506 .

00722

.00357

7

.03318

.01952

.01192

8

.05301 .

03377

.02289

9

.07287

.05087

.03662

10

.09383 .

06725

.04988

11

.11163

.08272

.06363

12

.12721 .

09663

.07651

13

.14343

.11074

.08839

14

.15954 .

12627

.10145

15

.17604

.14098

.11458

16

.18660 .

15171

.12562

17

.20273

.16348

.13633

18

.21158 .

17482

.14828

19

.22441

.18684

.15770

20

.23545 .

19856

.17235

52



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