Nonparametric cointegration analysis

Table

A.2:

Fractiles of

the trace test

statistic (continued)

q-r

s

m

20%

10%

5%

1

3

11

3.73838

4.11202

4.56015

1

3

12

3.64370

3.94585

4.29261

1

3

13

3.56688

3.82893

4.14216

1

3

14

3.50144

3.73125

3.96340

1

3

15

3.45025

3.64729

3.85352

1

3

16

3.41261

3.58986

3.80299

1

3

17

3.37611

3.53963

3.62190

1

3

18

3.35126

3.50311

3.66461

1

3

19

3.32970

3.46050

3.60918

1

3

20

3.30271

3.42830

3.55566

1

4

4

≈∞

≈∞

≈∞

1

4

5

59.58699

228.30013

850.87280

1

4

6

12.24434

22.28531

40.43592

1

4

7

7.93184

10.98499

15.53134

1

4

8

6.43190

8.11059

10.35581

1

4

9

5.79224

6.82991

8.23696

1

4

10

5.38720

6.07237

6.92696

1

4

11

5.14141

5.69175

6.33817

1

4

12

4.94268

5.39732

5.91662

1

4

13

4.83353

5.21590

5.64867

1

4

14

4.73080

5.05050

5.42302

1

4

15

4.66360

4.93383

5.24837

1

4

16

4.59474

4.83169

5.08249

1

4

17

4.53581

4.75111

4.97513

1

4

18

4.48886

4.68240

4.88423

1

4

19

4.45383

4.61883

4.81243

1

4

20

4.42914

4.58026

4.74957

2

1

2

≈∞

≈∞

≈∞

2

1

3

24.50277

91.44987

362.12466

2

1

4

5.13644

10.08217

20.34912

2

1

5

2.87585

4.55994

7.61196

2

1

6

2.22376

3.09964

4.40473

2

1

7

1.91091

2.50828

3.22750

2

1

8

1.72206

2.15846

2.75744

2

1

9

1.59818

1.96306

2.41139

2

1

10

1.49204

1.75951

2.09143

2

1

11

1.43400

1.67211

1.94222

2

1

12

1.37626

1.57523

1.80628

2

1

13

1.33670

1.51398

1.70210

2

1

14

1.31538

1.47124

1.66277

2

1

15

1.27958

1.42164

1.58065

2

1

16

1.25560

1.39149

1.54149

2

1

17

1.24056

1.36140

1.49320

2

1

18

1.22119

1.33515

1.45630

2

1

19

1.21052

1.31243

1.42101

2

1

20

1.20187

1.30334

1.40523