Date: 05/20/10
Time: 11:10

Sample (adjusted): 6 121

Included observations: 116 after adjustments

Trend assumption: Linear deterministic trend

Series: LNSHI LNM1 LNM2

Lags interval (in first differences): 1 to 4

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None

0.158557

26.69948

29.79707

0.1092

At most 1

0.046078

6.673565

15.49471

0.6159

At most 2

0.010304

1.201451

3.841466

0.2730

Trace 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 Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None

0.158557

20.02591

21.13162

0.0708

At most 1

0.046078

5.472114

14.26460

0.6814

At most 2

0.010304

1.201451

3.841466

0.2730

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):

LNSHI

LNM1

LNM2

0.574154

-60.28638

55.53544

-3.432352

24.32327

-21.12922

0.323703

-8.734581

5.687894

Unrestricted Adjustment Coefficients (alpha):

D(LNSHI)

0.020732

0.012964

-0.000240

D(LNM1)

0.003720

-0.001329

-0.001306

D(LNM2)

3.47E-05

0.000415

-0.000959

1 Cointegrating Equation(s):

Log likelihood

856.9363

Normalized cointegrating coefficients (standard error in parentheses)

LNSHI

LNM1

LNM2

1.000000

-105.0003

96.72564

(22.1380)

(20.4078)

Adjustment coefficients (standard error in parentheses)

D(LNSHI)

0.011904

(0.00438)

D(LNM1)

0.002136

(0.00095)

D(LNM2)

1.99E-05

(0.00055)

2 Cointegrating Equation(s):

Log likelihood

859.6724

Normalized cointegrating coefficients (standard error in parentheses)

LNSHI

LNM1

LNM2

1.000000

0.000000

-0.399043

(0.32201)

0.000000

1.000000

-0.924994

(0.00958)

Adjustment coefficients (standard error in parentheses)

D(LNSHI)

-0.032595

-0.934541

(0.02617)

(0.48878)

D(LNM1)

0.006698

-0.256577

(0.00572)

(0.10686)

D(LNM2)

-0.001404

0.007998

(0.00332)

(0.06203)