Nonparametric cointegration analysis

Table A.9: Johansen’s test results for the number (r) of cointegrating vectors: intercept and
time trend present, with cointegration restrictions on the trend parameters imposed

^p	r	test stat.	crit. 10%	val. 5%	conclusions:		test type	table^(*)
^p	r	test stat.	crit. 10%	val. 5%	10%	5%	test type	table^(*)
6	0	18.2	16.9	19.2	reject	accept	lambda-max	V
	1	6.7	10.6	23.5	accept	accept	’’	’’
	1	6.7	10.6	12.5	accept	accept	trace	’’
	0	24.9	23.0	25.4	reject	accept	’’	’’
	1	0.00	2.71	3.84	accept	accept	trend restr	. χ²(1)
					r=1	r=0
8	0	27.2	16.9	19.2	reject	reject	lambda-max	V
	1	7.9	10.6	23.5	accept	accept	’’	’’
	1	7.9	10.6	12.5	accept	accept	trace	’’
	0	35.1	23.0	25.4	reject	reject	’’	’’
	1	2.06	2.71	3.84	accept	accept	trend restr	. χ²(1)
					r=1	r=1

(*) Cf. Johansen (1994). Table V applies if cointegration restrictions have been imposed on the trend
parameters. The χ²(1) test tests for cointegration restriction on the trend parameters, i.e., the hypothesis that there
is a linear trend in the cointegration relation rather than in the error correction model itself.

Table A.10: Johansen’s LR test of the hypothesis that
the space of cointegrating vectors is spanned by the
column of a 2× 1 matrix H (linear trend present)

H^T:	test stat.	conclusions 10%		5%
(1,-0.40)	18.84	reject	reject
(1,-0.50)	16.32	reject	reject
(1,-0.60)	9.71	reject	reject
(1,-0.65)	3.86	reject	reject
(1,-0.70)	0.00	accept		accept
(1,-0.75)	3.78	reject	accept
(1,-0.80)	10.41	reject	reject
(1,-0.90)	17.65	reject	reject
(1,-1.00)	20.06	reject	reject

Additional references:

Newey,W.K. and K.D.West (1987), "A Simple Positive Definite Heteroskedasticity and

Autocorrelation Consistent Covariance Matrix", Econometrica 55, 703-708.

More intriguing information

1. Skills, Partnerships and Tenancy in Sri Lankan Rice Farms
2. Expectations, money, and the forecasting of inflation
3. The effect of classroom diversity on tolerance and participation in England, Sweden and Germany
4. School Effectiveness in Developing Countries - A Summary of the Research Evidence
5. A MARKOVIAN APPROXIMATED SOLUTION TO A PORTFOLIO MANAGEMENT PROBLEM
6. SegmentaciÃ³n en la era de la globalizaciÃ³n: Â¿CÃ³mo encontrar un segmento nuevo de mercado?
7. The name is absent
8. Globalization, Redistribution, and the Composition of Public Education Expenditures
9. The name is absent
10. A Multimodal Framework for Computer Mediated Learning: The Reshaping of Curriculum Knowledge and Learning