Johansen test. Rejection question

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neto333
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Joined: Fri Feb 16, 2018 2:48 pm

Johansen test. Rejection question

Postby neto333 » Fri Mar 29, 2019 3:11 pm

Hi, im running a Johansen test for 3 variables.

Code: Select all

Hypothesized      Trace   0.05   
No. of CE(s)   Eigenvalue   Statistic   Critical Value   Prob.**
            
None *    0.113798    36.44193    29.79707    0.0074
At most 1    0.047404    13.48796    15.49471    0.0981
At most 2 *    0.022175    4.260661    3.841466    0.0390


If i take a 5% significance. Then im rejecting the null hypothesis of none. But it fails to reject the hypothesisof at most 1. However it rejects the hypothesis of at most 2. So that menas there are 1 co-integration vectors or 3 co-integration vectors?

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