Date: 05/16/14   Time: 22:24   
Sample (adjusted): 6 265   
Included observations: 260 after adjustments   
Trend assumption: Linear deterministic trend   
Series: LNHF LNHS LNHW LNHX     
Lags interval (in first differences): 1 to 2   
   
Unrestricted Cointegration Rank Test (Trace)   
   
Hypothesized  Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
   
None  0.070207  39.97709  47.85613  0.2233
At most 1  0.062623  21.05090  29.79707  0.3545
At most 2  0.016163  4.236854  15.49471  0.8835
At most 3  3.41E-07  8.85E-05  3.841466  0.9932
   
Trace test indicates no cointegration at the 0.05 level   
* denotes rejection of the hypothesis at the 0.05 level   
**MacKinnon-Haug-Michelis (1999) p-values   
   
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)   
   
Hypothesized  Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
   
None  0.070207  18.92619  27.58434  0.4202
At most 1  0.062623  16.81405  21.13162  0.1809
At most 2  0.016163  4.236765  14.26460  0.8336
At most 3  3.41E-07  8.85E-05  3.841466  0.9932
   
Max-eigenvalue test indicates no cointegration at the 0.05 level   
* denotes rejection of the hypothesis at the 0.05 level   
**MacKinnon-Haug-Michelis (1999) p-values   
   
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):     
   
LNHF LNHS LNHW LNHX
-56.92907  28.92840  12.74214  22.05430
-21.30553 -2.731752  34.06984 -33.80236
-2.214322  21.40811 -12.54706 -3.154290
2.046861  7.389875 -11.50625 -12.12063
   
   
Unrestricted Adjustment Coefficients (alpha):     
   
D(LNHF)  0.002506 -0.000765 -0.000778 -1.59E-06
D(LNHS) -0.000400 -0.000827 -0.001438 -7.40E-08
D(LNHW) -0.000493 -0.001726  0.000335 -5.10E-06
D(LNHX) -0.000176  0.001051 -0.000572 -2.79E-06
   
   
1 Cointegrating Equation(s):   Log likelihood  3313.917
   
Normalized cointegrating coefficients (standard error in parentheses)   
LNHF LNHS LNHW LNHX
1.000000 -0.508148 -0.223825 -0.387400
  (0.10291)  (0.13086)  (0.16685)
   
Adjustment coefficients (standard error in parentheses)   
D(LNHF) -0.142657   
  (0.04220)   
D(LNHS)  0.022766   
  (0.04275)   
D(LNHW)  0.028073   
  (0.04172)   
D(LNHX)  0.009993   
  (0.02815)   
   
   
2 Cointegrating Equation(s):   Log likelihood  3322.324
   
Normalized cointegrating coefficients (standard error in parentheses)   
LNHF LNHS LNHW LNHX
1.000000  0.000000 -1.322009  1.188832
   (0.15031)  (0.36060)
0.000000  1.000000 -2.161150  3.101914
   (0.31236)  (0.74937)
   
Adjustment coefficients (standard error in parentheses)   
D(LNHF) -0.126360  0.074581  
  (0.04496)  (0.02149)  
D(LNHS)  0.040381 -0.009310  
  (0.04553)  (0.02176)  
D(LNHW)  0.064851 -0.009550  
  (0.04405)  (0.02106)  
D(LNHX) -0.012402 -0.007949  
  (0.02979)  (0.01424)  
   
   
3 Cointegrating Equation(s):   Log likelihood  3324.442
   
Normalized cointegrating coefficients (standard error in parentheses)   
LNHF LNHS LNHW LNHX
1.000000  0.000000  0.000000 -1.684647
    (0.47673)
0.000000  1.000000  0.000000 -1.595496
    (0.73284)
0.000000  0.000000  1.000000 -2.173569
    (0.42070)
   
Adjustment coefficients (standard error in parentheses)   
D(LNHF) -0.124639  0.057934  0.015626
  (0.04489)  (0.02664)  (0.02840)
D(LNHS)  0.043565 -0.040090 -0.015225
  (0.04522)  (0.02683)  (0.02861)
D(LNHW)  0.064108 -0.002369 -0.069304
  (0.04406)  (0.02614)  (0.02787)
D(LNHX) -0.011136 -0.020189  0.040749
  (0.02972)  (0.01764)  (0.01880)