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 2× |
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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