Table A.6: Johansen’s test results for the number (r) of cointegrating vectors (intercept
present, but linear trend absent)
|
p |
r |
test |
crit. |
val. |
conclusions: |
test table(*) type | |
|
10% |
5% | ||||||
|
_2_ |
__0__ |
___7._8__ |
__1__2.__1 |
_14__.0__ |
accept |
accept |
lambda-max A.1 |
|
1 |
0.9 |
2.8 |
4.0 |
accept |
accept |
’’ ’’ | |
|
1 |
0.9 |
2.8 |
4.0 |
accept |
accept |
trace ’’ | |
|
0 |
8.7 |
13.3 |
15.2 |
accept |
accept |
’’ ’’ | |
|
0 |
7.8 |
12.8 |
14.6 |
accept |
accept |
lambda-max A.2 | |
|
1 |
0.9 |
6.7 |
8.1 |
accept |
accept |
’’ ’’ | |
|
1 |
0.9 |
6.7 |
8.1 |
accept |
accept |
trace ’’ | |
|
0 |
8.7 |
15.6 |
17.8 |
accept |
accept |
’’ ’’ | |
|
0 |
16.4 |
13.8 |
15.8 |
reject |
reject |
lambda-max A.3 | |
|
1 |
6.1 |
7.6 |
9.1 |
accept |
accept |
’’ ’’ | |
|
1 |
6.1 |
7.6 |
9.1 |
accept |
accept |
trace ’’ | |
|
0 |
22.5 |
18.0 |
20.2 |
reject |
reject |
’’ ’’ | |
|
1 |
8.63 |
2.71 |
3.84 |
reject |
reject |
interc. restr. χ2(1) | |
|
r=0 |
r=0 | ||||||
|
4 |
0 |
15.2 |
12.1 |
14.0 |
reject |
reject |
lambda-max A.1 |
|
1 |
2.4 |
2.8 |
4.0 |
accept |
accept |
’’ ’’ | |
|
1 |
2.4 |
2.8 |
4.0 |
accept |
accept |
trace ’’ | |
|
0 |
17.6 |
13.3 |
15.2 |
reject |
reject |
’’ ’’ | |
|
0 |
15.2 |
12.8 |
14.6 |
reject |
reject |
lambda-max A.2 | |
|
1 |
2.4 |
6.7 |
8.1 |
accept |
accept |
’’ ’’ | |
|
1 |
2.4 |
6.7 |
8.1 |
accept |
accept |
trace ’’ | |
|
0 |
17.6 |
15.6 |
17.8 |
reject |
accept |
’’ ’’ | |
|
0 |
18.5 |
13.8 |
15.8 |
reject |
reject |
lambda-max A.3 | |
|
1 |
11.9 |
7.6 |
9.1 |
reject |
reject |
’’ ’’ | |
|
1 |
11.9 |
7.6 |
9.1 |
reject |
reject |
trace ’’ | |
|
0 |
30.5 |
18.0 |
20.2 |
reject |
reject |
’’ ’’ | |
|
1 |
3.36 |
2.71 |
3.84 |
reject |
accept |
interc. restr. χ2(1) | |
|
r=1 |
r=2 | ||||||
|
6 |
0 |
14.7 |
12.1 |
14.0 |
reject |
reject |
lambda-max A.1 |
|
1 |
2.2 |
2.8 |
4.0 |
accept |
accept |
’’ ’’ | |
|
1 |
2.2 |
2.8 |
4.0 |
accept |
accept |
trace ’’ | |
|
0 |
16.9 |
13.3 |
15.2 |
reject |
reject |
’’ ’’ | |
|
0 |
14.7 |
12.8 |
14.6 |
reject |
reject |
lambda-max A.2 | |
|
1 |
2.2 |
6.7 |
8.1 |
accept |
accept |
’’ ’’ | |
|
1 |
2.2 |
6.7 |
8.1 |
accept |
accept |
trace ’’ | |
|
0 |
16.9 |
15.6 |
17.8 |
reject |
accept |
’’ ’’ | |
|
0 |
19.0 |
13.8 |
15.8 |
reject |
reject |
lambda-max A.3 | |
|
1 |
6.7 |
7.6 |
9.1 |
accept |
accept |
’’ ’’ | |
|
1 |
6.7 |
7.6 |
9.1 |
accept |
accept |
trace ’’ | |
|
0 |
25.7 |
18.0 |
20.2 |
reject |
reject |
’’ ’’ | |
|
1 |
4.31 |
2.71 |
3.84 |
reject |
reject |
interc. restr. χ2(1) | |
|
r=1 |
r=1 | ||||||
(*) Cf. Johansen and Juselius (1990). Table A.3 applies if cointegration restrictions have been imposed on
the intercept parameters, whereas tables A.1 and A.2 apply if no cointegration restrictions are imposed. Table
A.2 applies if these cointegration restrictions actually hold, and table A.1 applies if not. The χ2(1) tests test the
null hypothesis that cointegration restrictions on the intercept parameters hold, given r = 1, i.e., that the
cointegration relation contains an intercept rather than the error correction model itself.
62
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