Date: 03/17/15   Time: 09:45     
Sample (adjusted): 1982 2013     
Included observations: 32 after adjustments     
Trend assumption: Linear deterministic trend     
Series: A B1 B2 B3 B4      
Lags interval (in first differences): 1 to 1     
     
Unrestricted Cointegration Rank Test (Trace)     
     
Hypothesized  Trace 0.05  
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
     
None *  0.652767  86.45241  69.81889  0.0013
At most 1 *  0.541229  52.60411  47.85613  0.0168
At most 2  0.471851  27.66956  29.79707  0.0863
At most 3  0.192516  7.241479  15.49471  0.5497
At most 4  0.012386  0.398842  3.841466  0.5277
     
Trace test indicates 2 cointegrating eqn(s) 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  0.652767  33.84830  33.87687  0.0504
At most 1  0.541229  24.93455  27.58434  0.1052
At most 2  0.471851  20.42809  21.13162  0.0625
At most 3  0.192516  6.842637  14.26460  0.5079
At most 4  0.012386  0.398842  3.841466  0.5277
     
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):      
     
A B1 B2 B3 B4
11.50945 -11.37439 -3.536774 -5.945193  4.025012
2.732760 -16.07905  10.34881  7.872709 -2.013870
-2.974723  14.27946 -20.37920 -10.55917  8.140294
2.396880 -4.365399  5.697054  8.717892 -7.099745
-7.067655 -0.517369  4.826548  5.094691 -1.714828
     
     
Unrestricted Adjustment Coefficients (alpha):      
     
D(A) -0.018927  0.005152 -0.011680 -0.008632  0.005434
D(B1) -0.001581  0.028468 -0.004333 -0.000727  0.007748
D(B2) -0.067937 -0.011535  0.037690  0.023178  0.001542
D(B3)  0.103441 -0.008074  0.000323 -0.048038  0.009123
D(B4)  0.020437 -0.054939  0.004575  0.014369  0.008681
     
     
1 Cointegrating Equation(s):   Log likelihood  192.4526  
     
Normalized cointegrating coefficients (standard error in parentheses)     
A B1 B2 B3 B4
1.000000 -0.988265 -0.307293 -0.516549  0.349714
  (0.24228)  (0.30704)  (0.22177)  (0.14953)
     
Adjustment coefficients (standard error in parentheses)     
D(A) -0.217840   
  (0.13223)   
D(B1) -0.018191   
  (0.18397)   
D(B2) -0.781915   
  (0.21463)   
D(B3)  1.190552   
  (0.36044)   
D(B4)  0.235220   
  (0.26246)   
     
     
2 Cointegrating Equation(s):   Log likelihood  204.9199  
     
Normalized cointegrating coefficients (standard error in parentheses)     
A B1 B2 B3 B4
1.000000  0.000000 -1.133798 -1.202385  0.569076
   (0.22147)  (0.18884)  (0.18222)
0.000000  1.000000 -0.836318 -0.693980  0.221967
   (0.15188)  (0.12951)  (0.12497)
     
Adjustment coefficients (standard error in parentheses)     
D(A) -0.203760  0.132439   
  (0.13535)  (0.22536)   
D(B1)  0.059604 -0.439755   
  (0.17669)  (0.29418)   
D(B2) -0.813439  0.958219   
  (0.21891)  (0.36447)   
D(B3)  1.168487 -1.046755   
  (0.36997)  (0.61598)   
D(B4)  0.085085  0.650909   
  (0.23637)  (0.39355)   
     
     
3 Cointegrating Equation(s):   Log likelihood  215.1339  
     
Normalized cointegrating coefficients (standard error in parentheses)     
A B1 B2 B3 B4
1.000000  0.000000  0.000000 -0.796641 -0.070661
    (0.23560)  (0.16755)
0.000000  1.000000  0.000000 -0.394693 -0.249920
    (0.18053)  (0.12839)
0.000000  0.000000  1.000000  0.357863 -0.564243
    (0.13839)  (0.09842)
     
Adjustment coefficients (standard error in parentheses)     
D(A) -0.169014 -0.034350  0.358298  
  (0.13663)  (0.27249)  (0.25906)  
D(B1)  0.072493 -0.501625  0.388495  
  (0.18188)  (0.36275)  (0.34487)  
D(B2) -0.925555  1.496409 -0.647189  
  (0.20615)  (0.41114)  (0.39088)  
D(B3)  1.167526 -1.042140 -0.455995  
  (0.38149)  (0.76084)  (0.72334)  
D(B4)  0.071476  0.716235 -0.734067  
  (0.24348)  (0.48559)  (0.46166)  
     
     
4 Cointegrating Equation(s):   Log likelihood  218.5553  
     
Normalized cointegrating coefficients (standard error in parentheses)     
A B1 B2 B3 B4
1.000000  0.000000  0.000000  0.000000 -0.628419
     (0.05092)
0.000000  1.000000  0.000000  0.000000 -0.526259
     (0.03131)
0.000000  0.000000  1.000000  0.000000 -0.313689
     (0.03142)
0.000000  0.000000  0.000000  1.000000 -0.700137
     (0.05594)
     
Adjustment coefficients (standard error in parentheses)     
D(A) -0.189704  0.003332  0.309121  0.201170
  (0.13758)  (0.27354)  (0.26362)  (0.18678)
D(B1)  0.070751 -0.498452  0.384354  0.272928
  (0.18535)  (0.36852)  (0.35516)  (0.25164)
D(B2) -0.869999  1.395225 -0.515140  0.117177
  (0.20203)  (0.40168)  (0.38712)  (0.27428)
D(B3)  1.052386 -0.832437 -0.729667 -1.100744
  (0.36998)  (0.73562)  (0.70894)  (0.50230)
D(B4)  0.105917  0.653507 -0.652204 -0.477059
  (0.24555)  (0.48821)  (0.47051)  (0.33336)