Johansen cointegration test

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linluoau
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Joined: Fri Apr 26, 2019 4:06 am

Johansen cointegration test

Postby linluoau » Thu Oct 24, 2019 12:43 am

Hi Helpers
I was trying to test for cointegration for two variables. But I got the following results. Can someone explain how this is possible?
Does this mean there is no cointegration between the two?
Thank you

Sample (adjusted): 9/01/1998 6/01/2019
Included observations: 84 after adjustments
Trend assumption: Linear deterministic trend
Series: DLTOT DLWPIMIN
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 * 0.260003 32.91130 15.49471 0.0001
At most 1 * 0.086701 7.618082 3.841465 0.0058

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 * 0.260003 25.29322 14.26460 0.0006
At most 1 * 0.086701 7.618082 3.841465 0.0058

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):

DLTOT DLWPIMIN
-0.396484 0.422555
0.021010 -2.660041


Unrestricted Adjustment Coefficients (alpha):

D(DLTOT) 1.726326 0.249740
D(DLWPIMIN) -0.014884 0.126917


1 Cointegrating Equation(s): Log likelihood -258.8959

Normalized cointegrating coefficients (standard error in parentheses)
DLTOT DLWPIMIN
1.000000 -1.065756
(1.26900)

Adjustment coefficients (standard error in parentheses)
D(DLTOT) -0.684461
(0.13618)
D(DLWPIMIN) 0.005901
(0.01938)

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