Nonparametric cointegration analysis

Table

A.2:

Fractiles of

the trace t

est statistic (continued)

q-r

s

m

20%

10%

5%

2

2

2

≈∞

≈∞

≈∞

2

2

3

≈∞

≈∞

≈∞

2

2

4

61.91753

258.81168

1150.01965

2

2

5

10.59734

20.28767

38.36969

2

2

6

6.05734

9.04116

13.70440

2

2

7

4.52866

6.07478

8.24005

2

2

8

3.82651

4.77489

5.90008

2

2

9

3.40032

4.06216

4.96908

2

2

10

3.15162

3.64828

4.26856

2

2

11

2.97918

3.40804

3.84954

2

2

12

2.84370

3.21368

3.65350

2

2

13

2.73075

3.04280

3.38203

2

2

14

2.65728

2.91700

3.21621

2

2

15

2.59119

2.83387

3.07198

2

2

16

2.53118

2.72154

2.94469

2

2

17

2.48894

2.68427

2.88348

2

2

18

2.45685

2.62200

2.80744

2

2

19

2.43068

2.58588

2.74454

2

2

20

2.39975

2.53892

2.68444

2

3

3

≈∞

≈∞

≈∞

2

3

4

≈∞

≈∞

≈∞

2

3

5

103.36205

413.47913

1705.09412

2

3

6

16.34617

31.27909

60.42951

2

3

7

9.20393

13.75572

19.36834

2

3

8

6.73397

8.87307

11.72758

2

3

9

5.71744

7.18353

9.01382

2

3

10

5.05852

5.97450

7.11445

2

3

11

4.69140

5.35596

6.18987

2

3

12

4.42334

4.96870

5.61262

2

3

13

4.21246

4.64371

5.19294

2

3

14

4.07089

4.46895

4.86464

2

3

15

3.95648

4.28268

4.62844

2

3

16

3.85624

4.15692

4.47847

2

3

17

3.77542

4.02964

4.30385

2

3

18

3.70934

3.93142

4.17179

2

3

19

3.65618

3.86633

4.09166

2

3

20

3.60936

3.81094

4.01248

2

4

4

≈∞

≈∞

≈∞

2

4

5

≈∞

≈∞

≈∞

2

4

6

148.74661

624.72162

2301.92505

2

4

7

22.37093

42.32471

79.57790

2

4

8

12.08182

18.03877

27.56934

2

4

9

9.00571

11.59995

15.18499

2

4

10

7.47450

9.09957

11.14851

2

4

11

6.73648

7.84779

9.17053

2

4

12

6.20259

7.05255

8.09714

2

4

13

5.84929

6.53957

7.32500

2

4

14

5.61266

6.16357

6.76585