Nonparametric cointegration analysis

Table

A.2:

Fractiles of

the trace test statistic (continued)

q-r

s

m

20%

10%

5%

2

4

15

5.40286

5.86386

6.38816

2

4

16

5.25239

5.62673

6.07742

2

4

17

5.10956

5.44657

5.84971

2

4

18

5.02389

5.32631

5.63055

2

4

19

4.94531

5.21366

5.47029

2

4

20

4.86233

5.09956

5.35324

3

1

3

≈∞

≈∞

≈∞

3

1

4

38.47602

147.90552

628.65021

3

1

5

7.26398

14.48385

29.58936

3

1

6

3.87222

6.12236

10.13583

3

1

7

2.84031

4.07944

5.79377

3

1

8

2.39632

3.20831

4.24671

3

1

9

2.06276

2.66343

3.38151

3

1

10

1.86216

2.31567

2.87495

3

1

11

1.71717

2.06395

2.51029

3

1

12

1.62446

1.92934

2.25253

3

1

13

1.56046

1.82195

2.12588

3

1

14

1.49405

1.72750

1.97979

3

1

15

1.44824

1.64387

1.85722

3

1

16

1.41740

1.61066

1.81048

3

1

17

1.37483

1.54018

1.71611

3

1

18

1.34887

1.49986

1.64932

3

1

19

1.32023

1.45358

1.58759

3

1

20

1.30487

1.43662

1.58724

3

2

3

≈∞

≈∞

≈∞

3

2

4

≈∞

≈∞

≈∞

3

2

5

93.00429

361.06729

1479.62976

3

2

6

16.13880

31.22144

61.88641

3

2

7

7.91967

12.53577

19.37587

3

2

8

5.80985

8.07796

11.15446

3

2

9

4.71049

5.98588

7.66056

3

2

10

4.08611

4.98691

6.11596

3

2

11

3.66900

4.36060

5.17738

3

2

12

3.42223

3.95770

4.58891

3

2

13

3.22444

3.67791

4.15968

3

2

14

3.06499

3.44421

3.88629

3

2

15

2.96360

3.28493

3.63179

3

2

16

2.86478

3.15767

3.44659

3

2

17

2.77741

3.02203

3.27700

3

2

18

2.71687

2.96573

3.20931

3

2

19

2.66058

2.86360

3.08757

3

2

20

2.62449

2.81048

2.99621

3

3

3

≈∞

≈∞

≈∞

3

3

4

≈∞

≈∞

≈∞

3

3

5

≈∞

≈∞

≈∞

3

3

6

166.69800

687.85577

2673.08301

3

3

7

24.12948

47.16924

88.97661