When I perform a Johansen Cointegration Test for a VAR and the Trace od ME Test Statistic are much larger than the critical value, the p-value should be close to zero. Instead, I shows the Prob: 1.0000.
The programm code I used, just as an example, was:
Code: Select all
wfcreate(wf=Koint) u 10000
series trend = 0
smpl @first+1 @last
trend = 1+trend(-1)+@nrnd
x= trend + u
y= y(-1) + 0.5*(x(-1) - y(-1)) + v
z= 10 + z(-1) + w
varest 1 1 x y z
I am using EViews 10, but I think I have encountered the same problem already years ago with Version 8 or so.
Edit: The issue disappears if, e.g., I reduce the number of obs to 1000 such that the p-value is 0.0001 or such. Thus, I only appears for p-values extreme close to zero, displaying 1 instead.