Date: 06/27/15 Time: 21:43
Sample (adjusted): 1995 2013
Included observations: 19 after adjustments
Trend assumption: No deterministic trend (restricted constant)
Series: X1 X2 X3 X4 Y
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 * 0.943770 149.9993 76.97277 0.0000
At most 1 * 0.920479 95.31141 54.07904 0.0000
At most 2 * 0.705452 47.20835 35.19275 0.0016
At most 3 * 0.527373 23.98438 20.26184 0.0147
At most 4 * 0.401236 9.744868 9.164546 0.0388
Trace test indicates 5 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 CriticalValue Prob.**
None * 0.943770 54.68784 34.80587 0.0001
At most 1 * 0.920479 48.10306 28.58808 0.0001
At most 2 * 0.705452 23.22397 22.29962 0.0371
At most 3 0.527373 14.23951 15.89210 0.0893
At most 4 * 0.401236 9.744868 9.164546 0.0388
Max-eigenvalue test indicates 3 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values