Johansen Cointegration Test results

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khkboss
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Johansen Cointegration Test results

Postby khkboss » Wed Jun 14, 2017 9:44 pm

I did a Johansen Cointegration test results and below is the results.
It is confusing since the hypothesis of none is not rejected but the hypothesis of at most 1 is rejected.. How should I interpret this? Thank you


Date: 06/15/17 Time: 00:34
Sample (adjusted): 2004M09 2008M08
Included observations: 48 after adjustments
Trend assumption: Linear deterministic trend
Series: F24 _10YT
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 0.150828 13.75052 15.49471 0.0900
At most 1 * 0.115715 5.902841 3.841466 0.0151

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 0.150828 7.847677 14.26460 0.3944
At most 1 * 0.115715 5.902841 3.841466 0.0151

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):

F24 _10YT
-2.811831 5.958652
0.214667 2.250900


Unrestricted Adjustment Coefficients (alpha):

D(F24) -0.008173 -0.093643
D(_10YT) -0.063678 -0.035545


1 Cointegrating Equation(s): Log likelihood 18.80995

Normalized cointegrating coefficients (standard error in parentheses)
F24 _10YT
1.000000 -2.119136
(0.35130)

Adjustment coefficients (standard error in parentheses)
D(F24) 0.022982
(0.11973)
D(_10YT) 0.179053
(0.07971)

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