Johansen Cointegration test
Posted: Sun Jul 14, 2013 5:59 pm
Hello
I have 3 time series and i want to test the cointegration between them, in my results, i found that there is only 1 cointegratin equation at 5% level,
Unrestricted Cointegration Rank Test
Hypothesized Trace 5 Percent 1 Percent
No. of CE(s) Eigenvalue Statistic Critical Value Critical Value
None * 0.013436 34.65967 29.68 35.65
At most 1 0.004826 10.32449 15.41 20.04
At most 2 0.000901 1.622016 3.76 6.65
*(**) denotes rejection of the hypothesis at the 5%(1%) level
Trace test indicates 1 cointegrating equation(s) at the 5% level
Trace test indicates no cointegration at the 1% level
how can i interprete this? (i am sorry for my english )
I have 3 time series and i want to test the cointegration between them, in my results, i found that there is only 1 cointegratin equation at 5% level,
Unrestricted Cointegration Rank Test
Hypothesized Trace 5 Percent 1 Percent
No. of CE(s) Eigenvalue Statistic Critical Value Critical Value
None * 0.013436 34.65967 29.68 35.65
At most 1 0.004826 10.32449 15.41 20.04
At most 2 0.000901 1.622016 3.76 6.65
*(**) denotes rejection of the hypothesis at the 5%(1%) level
Trace test indicates 1 cointegrating equation(s) at the 5% level
Trace test indicates no cointegration at the 1% level
how can i interprete this? (i am sorry for my english )