Johansen procedure

[gaberec]

Hi,
I need to create comovement between log growth gdp and log brent oil price for my thesis on oil shocks affect economic activity.

In order to do that I used the johansens procedure
I'm making the analysis for 6 countries: United States, United Kingdom, Italy, Germany, Eurozone and Japan, for all of these I have that the test is lesser than critical values of 5% (however of all critical values), what does it mean ?


######################
# Johansen-Procedure #
######################

Test type: trace statistic , without linear trend and constant in cointegration

Eigenvalues (lambda):
[1] 1.008191e-01 2.029732e-02 7.806256e-18

Values of teststatistic and critical values of test:

test 10pct 5pct 1pct
r <= 1 | 1.85 7.52 9.24 12.97
r = 0 | 11.41 17.85 19.96 24.60

Eigenvectors, normalised to first column:
(These are the cointegration relations)

V1.l6 V2.l6 constant
V1.l6 1.000000000 1.00000000 1.00000000
V2.l6 0.003419576 -0.02989015 0.03030679
constant -0.018639001 0.13013217 -0.09799646

Weights W:
(This is the loading matrix)

V1.l6 V2.l6 constant
V1.d -0.5948877 0.001449595 -3.224977e-16
V2.d -3.2790931 0.490451793 -2.800042e-15

[londonphd]

post this question on stack.exchange.com or other forums where econometricians could easily help you. Read any time series book relevant chapters for a good answer