Nonparametric cointegration analysis



Table A.7: Johansen’s LR test of the hypothesis that
the space of cointegrating vectors is spanned by the
column of a 2× 1 matrix H (intercept present, trend absent):

HT:

test
stat.

conclusions
10%

5%

(1,-0.40)

11.74

reject reject

(1,-0.50)

11.55

reject

reject

(1,-0.60)

11.02

reject

reject

(1,-0.65)

10.26

reject reject

(1,-0.70)

7.75

reject

reject

(1,-0.75)

0.21

accept accept

(1,-0.80)

11.22

reject

reject

(1,-0.90)

12.55

reject

reject

(1,-1.00)

12.49

reject

reject

Table A.8: Cointegration regressions for ln[wages].

Regressors: OLS estimates:

LN[GNP] 0.64577      0.74564

1                           -1.27404

time (1860=1)

0.68591

-0.86678

0.00385

R2:           0.97845       0.99657

n = 80 (1909-1988)

0.99684

63



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