Date: 04/08/15 Time: 01:23
Sample (adjusted): 2000 2013
Included observations: 14 after adjustments
Trend assumption: Linear deterministic trend
Series: GDP IE
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 * 0.594998 16.86263 15.49471 0.0309
At most 1 * 0.259634 4.208543 3.841466 0.0402
Trace test indicates 2 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 0.594998 12.65409 14.26460 0.0884
At most 1 * 0.259634 4.208543 3.841466 0.0402
Max-eigenvalue test indicates no cointegration 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):
GDP IE
3.88E-08 -5.01E-06
3.23E-07 -6.99E-06
Unrestricted Adjustment Coefficients (alpha):
D(GDP) -308009.4 428704.8
D(IE) 54972.23 29039.47
1 Cointegrating Equation(s): Log likelihood -385.3449
Normalized cointegrating coefficients (standard error in parentheses)
GDP IE
1.000000 -129.1004
(27.8250)
Adjustment coefficients (standard error in parentheses)
D(GDP) -0.011946
(0.01078)
D(IE) 0.002132
(0.00089)