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
More intriguing information
1. Ex post analysis of the regional impacts of major infrastructure: the Channel Tunnel 10 years on.2. The name is absent
3. TECHNOLOGY AND REGIONAL DEVELOPMENT: THE CASE OF PATENTS AND FIRM LOCATION IN THE SPANISH MEDICAL INSTRUMENTS INDUSTRY.
4. Altruism with Social Roots: An Emerging Literature
5. The name is absent
6. The name is absent
7. Emissions Trading, Electricity Industry Restructuring and Investment in Pollution Abatement
8. Running head: CHILDREN'S ATTRIBUTIONS OF BELIEFS
9. The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data
10. The name is absent