Nonparametric cointegration analysis

Table

A.2:

Fractiles of

the trace test statistic

(continued)

q-r

s

m

20%

10%

5%

4

2

4

≈∞

≈∞

≈∞

4

2

5

≈∞

≈∞

≈∞

4

2

6

129.57700

555.50806

2153.23486

4

2

7

20.84252

42.16933

82.84001

4

2

8

10.25564

16.31891

24.81494

4

2

9

6.98886

9.88485

13.56721

4

2

10

5.51381

7.06309

9.38965

4

2

11

4.70261

5.80228

7.13175

4

2

12

4.18702

5.02169

5.96311

4

2

13

3.84164

4.50865

5.25043

4

2

14

3.61155

4.14485

4.68903

4

2

15

3.40158

3.83342

4.36209

4

2

16

3.25422

3.62673

4.02613

4

2

17

3.13366

3.48036

3.88130

4

2

18

3.02209

3.32310

3.62977

4

2

19

2.92286

3.19585

3.48005

4

2

20

2.86429

3.10779

3.35501

4

3

4

≈∞

≈∞

≈∞

4

3

5

≈∞

≈∞

≈∞

4

3

6

≈∞

≈∞

≈∞

4

3

7

231.10181

910.61505

3823.96753

4

3

8

32.02048

64.73278

128.13597

4

3

9

15.59013

23.91462

37.02358

4

3

10

10.45466

14.19038

19.48011

4

3

11

8.27987

10.53883

13.10155

4

3

12

7.06594

8.55731

10.34639

4

3

13

6.22437

7.36279

8.60385

4

3

14

5.73507

6.60219

7.57303

4

3

15

5.31539

5.98667

6.72832

4

3

16

5.02716

5.57712

6.20682

4

3

17

4.78402

5.29643

5.78535

4

3

18

4.65216

5.09873

5.56232

4

3

19

4.45656

4.83824

5.20532

4

3

20

4.34131

4.66775

4.99190

4

4

4

≈∞

≈∞

≈∞

4

4

5

≈∞

≈∞

≈∞

4

4

6

≈∞

≈∞

≈∞

4

4

7

≈∞

≈∞

≈∞

4

4

8

294.06204

1052.47070

4441.59863

4

4

9

43.23587

84.39127

158.66469

4

4

10

20.47857

31.14259

49.13243

4

4

11

13.99785

18.77476

24.94080

4

4

12

10.89622

13.62592

16.74797

4

4

13

9.32626

11.15563

13.26725

4

4

14

8.25198

9.58426

11.09686

4

4

15

7.53886

8.56490

9.65555