### Cointegration Test gives wrong P-Value

Posted:

**Tue May 15, 2018 5:53 am**Dear EViews-Team

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:

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.

Best regards,

Daniel

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`

smpl @all

series x=0

series y=0

series z=0

series trend = 0

smpl @first+1 @last

series u=@nrnd

series v=@nrnd

series w=@nrnd

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.

Best regards,

Daniel