Series: X Y Z

Date: 11/10/18   Time: 13:09

Sample: 2000 2016

Included observations:  68

Trend assumption:  Linear deterministic trend

Lags interval (in  first differences): 0 0

Unrestricted  Cointegration Rank Test (Trace and Maximum Eigenvalue)

Hypothesized

Fisher Stat.*

Fisher Stat.*

No. of CE(s)

(from trace test)

Prob.

(from max-eigen test)

Prob.

None

28.19

0.0004

25.54

0.0013

At most 1

10.91

0.2066

10.70

0.2194

At most 2

8.177

0.4164

8.177

0.4164

Individual cross  section results

Trace Test

Max-Eign Test

Cross Section

Statistics

Prob.**

Statistics

Prob.**

Hypothesis of no  cointegration

1

35.7434

0.0092

21.5215

0.0441

2

37.8191

0.0048

28.8314

0.0034

3

27.5832

0.0882

16.0652

0.2211

4

24.1658

0.1935

19.3894

0.0861

Hypothesis of at most  1 cointegration relationship

1

14.2220

0.0770

13.7769

0.0596

2

8.9877

0.3665

8.3489

0.3444

3

11.5180

0.1816

8.8822

0.2961

4

4.7763

0.8321

4.6745

0.7822

Hypothesis of at most  2 cointegration relationship

1

0.4450

0.5047

0.4450

0.5047

2

0.6388

0.4241

0.6388

0.4241

3

2.6358

0.1045

2.6358

0.1045

4

0.1019

0.7496

0.1019

0.7496

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