Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None *

0.845012

72.88606

47.85613

0.0001

At most 1 *

0.652534

37.46237

29.79707

0.0054

At most 2 *

0.430677

17.37766

15.49471

0.0257

At most 3 *

0.296232

6.674837

3.841466

0.0098

Trace test indicates 4 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 *

0.845012

35.42369

27.58434

0.0040

At most 1

0.652534

20.08470

21.13162

0.0695

At most 2

0.430677

10.70283

14.26460

0.1697

At most 3 *

0.296232

6.674837

3.841466

0.0098

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis (1999) p-values