Sample (adjusted): 2003 2016
Included observations: 14 after adjustments
Trend assumption: Linear deterministic trend
Series: LNY LNRDK LNRDL
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.893124 41.47632 29.79707 0.0015
At most 1 0.342168 10.17116 15.49471 0.2678
At most 2 * 0.264869 4.307883 3.841466 0.0379
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.893124 31.30516 21.13162 0.0013
At most 1 0.342168 5.863278 14.26460 0.6308
At most 2 * 0.264869 4.307883 3.841466 0.0379
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
LNY LNRDK LNRDL
1.070304 2.574846 -1.194225
7.809136 -22.92036 22.59184
1.377096 -16.06446 21.85364
Unrestricted Adjustment Coefficients (alpha):
D(LNY) -0.137377 -0.000947 0.030295
D(LNRDK) -0.019289 0.019582 -0.006668
D(LNRDL) -0.013856 -0.007786 -0.024484
1 Cointegrating Equation(s): Log likelihood 69.49459
Normalized cointegrating coefficients (standard error in parentheses)
LNY LNRDK LNRDL
1.000000 2.405715 -1.115781
(1.42730) (1.96148)
Adjustment coefficients (standard error in parentheses)
D(LNY) -0.147035
(0.02700)
D(LNRDK) -0.020645
(0.01303)
D(LNRDL) -0.014830
(0.01771)
2 Cointegrating Equation(s): Log likelihood 72.42623
Normalized cointegrating coefficients (standard error in parentheses)
LNY LNRDK LNRDL
1.000000 0.000000 0.689943
(0.24186)
0.000000 1.000000 -0.750598
(0.08573)
Adjustment coefficients (standard error in parentheses)
D(LNY) -0.154427 -0.332027
(0.19880) (0.58173)
D(LNRDK) 0.132276 -0.498497
(0.08096) (0.23692)
D(LNRDL) -0.075635 0.142790
(0.12879) (0.37686)