Read Cointegration table
Posted: Sat Jul 23, 2011 6:42 am
Hello!
I would like to know how to read the Cointegration Table as I have some difficulties in explaini it.
According to my cointegration test I reject the hypothesis at the 5% and 1% level and the trace test indicates 1 cointegrating equation at both 5% and 1% level, which is confirmed by the max. Eigenvalue statistic. What does this mean? Are the stock indices cointegrated?
I would like to know how to read the Cointegration Table as I have some difficulties in explaini it.
According to my cointegration test I reject the hypothesis at the 5% and 1% level and the trace test indicates 1 cointegrating equation at both 5% and 1% level, which is confirmed by the max. Eigenvalue statistic. What does this mean? Are the stock indices cointegrated?