Nonparametric cointegration analysis



Table A.4: Nonparametric tests of Hr against Hr+1

r

test statistic

critical regions

conclusion

0

0.00060

10%: (0,.005)

reject

0.00425

5%: (0,.017)

reject

1

1.20899

10%: (0,.111)

accept

1.20899

5%: (0,.054)

accept

Table A.5: Test of the hypothesis that the space of cointegrating

vectors is spanned by the column of a

1 matrix H (Nonparametric)

HT:

test

conclusions

stat.

10%

5%

(1,-0.40)

8.13

reject reject

(1,-0.50)

3.92

reject

accept

(1,-0.60)

1.65

accept accept

(1,-0.65)

1.15

accept

accept

(1,-0.70)

1.01

accept accept

(1,-0.75)

1.18

accept accept

(1,-0.80)

1.63

accept accept

(1,-0.90)

3.18

reject

accept

(1,-1.00)

5.37

reject

reject

61



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