Nonparametric cointegration analysis

Table

A.2:

Fractiles of

the trace test statistic (continued)

q-r

s

m

20%

10%

5%

3

3

8

12.41689

18.96752

30.17323

3

3

9

8.64259

11.73291

15.78372

3

3

10

7.04850

8.94094

11.10475

3

3

11

6.04714

7.21111

8.70557

3

3

12

5.44534

6.36663

7.50848

3

3

13

5.05691

5.77774

6.58924

3

3

14

4.75932

5.34315

5.99465

3

3

15

4.53830

5.03726

5.55357

3

3

16

4.38823

4.78769

5.22870

3

3

17

4.23783

4.61019

4.98024

3

3

18

4.13387

4.46193

4.80153

3

3

19

4.03362

4.32947

4.61589

3

3

20

3.96285

4.21554

4.48116

3

4

4

≈∞

≈∞

≈∞

3

4

5

≈∞

≈∞

≈∞

3

4

6

≈∞

≈∞

≈∞

3

4

7

244.25818

957.57916

4024.66016

3

4

8

32.70491

62.47633

125.55256

3

4

9

16.49575

24.41030

36.64227

3

4

10

11.54159

15.27315

20.31912

3

4

11

9.31754

11.61103

14.59455

3

4

12

7.94072

9.40790

11.16500

3

4

13

7.24958

8.41942

9.71438

3

4

14

6.71290

7.52136

8.46355

3

4

15

6.34575

7.00670

7.78777

3

4

16

6.04001

6.62328

7.27576

3

4

17

5.79484

6.29086

6.85427

3

4

18

5.61419

6.03428

6.48686

3

4

19

5.47009

5.83943

6.24385

3

4

20

5.36221

5.71664

6.04735

4

1

4

≈∞

≈∞

≈∞

4

1

5

56.66291

236.45728

856.82471

4

1

6

9.51424

18.69047

37.44304

4

1

7

4.85499

8.09154

12.45082

4

1

8

3.49984

5.19103

7.40119

4

1

9

2.76747

3.79929

5.06636

4

1

10

2.40223

3.11572

4.03353

4

1

11

2.13557

2.71290

3.37059

4

1

12

1.96666

2.42428

2.92038

4

1

13

1.83161

2.19769

2.57913

4

1

14

1.73539

2.05232

2.44148

4

1

15

1.65182

1.91702

2.22406

4

1

16

1.60059

1.83099

2.08077

4

1

17

1.54215

1.75600

1.97929

4

1

18

1.48518

1.67564

1.86772

4

1

19

1.45582

1.63666

1.80892

4

1

20

1.42796

1.58790

1.75401