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 |
conclusions |
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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