Nonparametric cointegration analysis

Table

A.2:

Fractiles of

the trace test

statistic

q-r

s

m

20%

10%

5%

1

1

1

≈∞

≈∞

≈∞

1

1

2

10.27089

40.45604

185.15271

1

1

3

2.79425

5.15514

10.01774

1

1

4

1.89590

2.81468

4.42990

1

1

5

1.57446

2.12710

2.98437

1

1

6

1.43377

1.79242

2.30820

1

1

7

1.33653

1.60759

1.94689

1

1

8

1.28459

1.50687

1.77884

1

1

9

1.24592

1.43055

1.66712

1

1

10

1.21811

1.38056

1.56992

1

1

11

1.19692

1.33283

1.50327

1

1

12

1.16973

1.29442

1.44038

1

1

13

1.15015

1.25579

1.38437

1

1

14

1.13847

1.23552

1.35100

1

1

15

1.12841

1.22230

1.33338

1

1

16

1.12008

1.20687

1.30285

1

1

17

1.11127

1.19487

1.28560

1

1

18

1.10456

1.17804

1.25982

1

1

19

1.09660

1.16585

1.24079

1

1

20

1.09114

1.15560

1.22561

1

2

2

≈∞

≈∞

≈∞

1

2

3

26.53175

109.22668

423.04843

1

2

4

5.98635

11.15879

22.49172

1

2

5

3.93237

5.62639

8.26385

1

2

6

3.27373

4.20552

5.52463

1

2

7

2.90537

3.53926

4.29752

1

2

8

2.70794

3.12661

3.64454

1

2

9

2.59083

2.95510

3.38588

1

2

10

2.49265

2.79090

3.14160

1

2

11

2.42987

2.66328

2.92706

1

2

12

2.38458

2.59271

2.83659

1

2

13

2.33520

2.50875

2.70296

1

2

14

2.31191

2.47380

2.64671

1

2

15

2.28288

2.42507

2.58518

1

2

16

2.26040

2.39302

2.52879

1

2

17

2.23829

2.35403

2.49195

1

2

18

2.22214

2.33179

2.45291

1

2

19

2.20783

2.31083

2.42204

1

2

20

2.19858

2.29481

2.40497

1

3

3

≈∞

≈∞

≈∞

1

3

4

44.17178

172.78804

653.78790

1

3

5

9.27488

16.16469

31.74145

1

3

6

6.09519

8.50167

12.45088

1

3

7

4.90693

6.18520

8.08074

1

3

8

4.34888

5.17899

6.32292

1

3

9

4.04032

4.66316

5.41461

1

3

10

3.86540

4.31744

4.85558