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Date: 06/13/11 Time: 23:56
Sample (adjusted): 1982 2009
Included observations: 28 after adjustments
Trend assumption: No deterministic trend
Series: LNCOO LNGDP
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
Trace
0.05
No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.499132
19.77318
12.32090
0.0024
At most 1
0.014664
0.413627
4.129906
0.5836
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 *
0.499132
19.35956
11.22480
0.0015
At most 1
0.014664
0.413627
4.129906
0.5836
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):
LNCOO
LNGDP
-1.061949
0.707150
2.354477
-2.527722
Unrestricted Adjustment Coefficients (alpha):
D(LNCOO)
-0.011714
-0.003233
D(LNGDP)
-0.017439
-6.69E-05
1 Cointegrating Equation(s):
Log likelihood
135.6995
Normalized cointegrating coefficients (standard error in parentheses)
LNCOO
LNGDP
1.000000
-0.665898
(0.07763)
Adjustment coefficients (standard error in parentheses)
D(LNCOO)
0.012439
(0.00646)
D(LNGDP)
0.018520
(0.00387)