Date: 10/28/09
Time: 13:49

Sample (adjusted): 1999M04 2009M06

Included observations: 123 after adjustments

Trend assumption: Linear deterministic trend

Series: X WY Q V

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 *

0.244387

60.64917

47.85613

0.0020

At most 1

0.117324

26.18138

29.79707

0.1234

At most 2

0.069272

10.83128

15.49471

0.2221

At most 3

0.016139

2.001349

3.841466

0.1572

Trace 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

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None *

0.244387

34.46779

27.58434

0.0056

At most 1

0.117324

15.35011

21.13162

0.2651

At most 2

0.069272

8.829926

14.26460

0.3006

At most 3

0.016139

2.001349

3.841466

0.1572

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

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

X

WY

Q

V

-3.969173

31.86982

13.56827

306.1850

2.223562

-25.52754

3.892741

-10.41026

2.635019

-8.959005

12.67103

-187.5967

-3.119866

15.25361

8.400732

-4.975683

Unrestricted Adjustment Coefficients (alpha):

D(X)

0.001996

0.004043

-0.016246

0.010012

D(WY)

-0.007276

0.000132

-0.003273

0.000579

D(Q)

0.003247

-0.004878

-0.000230

4.09E-05

D(V)

-0.000266

-0.000306

0.000424

0.000172

1 Cointegrating Equation(s):

Log likelihood

1370.169

Normalized cointegrating coefficients (standard error in parentheses)

X

WY

Q

V

1.000000

-8.029335

-3.418413

-77.14076

(0.65619)

(0.82480)

(9.33498)

Adjustment coefficients (standard error in parentheses)

D(X)

-0.007921

(0.03766)

D(WY)

0.028880

(0.00688)

D(Q)

-0.012887

(0.00574)

D(V)

0.001056

(0.00087)

2 Cointegrating Equation(s):

Log likelihood

1377.844

Normalized cointegrating coefficients (standard error in parentheses)

X

WY

Q

V

1.000000

0.000000

-15.44471

-245.7223

(5.75747)

(67.9715)

0.000000

1.000000

-1.497795

-20.99571

(0.67776)

(8.00151)

Adjustment coefficients (standard error in parentheses)

D(X)

0.001068

-0.039599

(0.04313)

(0.38711)

D(WY)

0.029174

-0.235265

(0.00788)

(0.07074)

D(Q)

-0.023733

0.227994

(0.00624)

(0.05599)

D(V)

0.000376

-0.000676

(0.00099)

(0.00889)

3 Cointegrating Equation(s):

Log likelihood

1382.259

Normalized cointegrating coefficients (standard error in parentheses)

X

WY

Q

V

1.000000

0.000000

0.000000

-140.6481

(39.8885)

0.000000

1.000000

0.000000

-10.80584

(5.03778)

0.000000

0.000000

1.000000

6.803247

(3.33191)

Adjustment coefficients (standard error in parentheses)

D(X)

-0.041742

0.105953

-0.163044

(0.04919)

(0.39114)

(0.17748)

D(WY)

0.020551

-0.205946

-0.139677

(0.00896)

(0.07127)

(0.03234)

D(Q)

-0.024340

0.230056

0.022146

(0.00721)

(0.05732)

(0.02601)

D(V)

0.001493

-0.004472

0.000570

(0.00113)

(0.00895)

(0.00406)