2# wyz5476
Date: 10/02/10 Time: 16:40
Sample (adjusted): 1990 2008
Included observations: 19 after adjustments
Trend assumption: Linear deterministic trend
Series: FAI CPI
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 * 0.589991 20.97149 15.49471 0.0068
At most 1 * 0.191185 4.031522 3.841466 0.0446
Trace test indicates 2 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 * 0.589991 16.93997 14.26460 0.0184
At most 1 * 0.191185 4.031522 3.841466 0.0446
Max-eigenvalue test indicates 2 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):
FAI CPI
-0.131682 0.140049
0.001388 -0.180707
Unrestricted Adjustment Coefficients (alpha):
D(FAI) 6.229525 2.894706
D(CPI) -1.435495 0.637981
1 Cointegrating Equation(s): Log likelihood -105.9950
Normalized cointegrating coefficients (standard error in parentheses)
FAI CPI
1.000000 -1.063542
(0.29295)
Adjustment coefficients (standard error in parentheses)
D(FAI) -0.820314
(0.28608)
D(CPI) 0.189028
(0.06416)