Characteristic root tracing test

CE

CV

Trace statistic

5% Critical value

Prob.**

None*

0.939039

68.80668

35.01090

0.0000

At most 1*

0.842440

32.43900

18.39771

0.0003

At most 2*

0.476572

8.415630

3.841466

0.0037

Max-eigenvalue test

CE

CV

Max-Eigen

5% Critical value

Prob.**

None*

0.939039

36.36767

24.25202

0.0008

At most 1*

0.842440

24.02337

17.14769

0.0043

At most 2*

0.476572

8.415630

3.841466

0.0037

Standardization of cointegration vector

GZEDT

GZGDP

GZEIT

1.000000

−0.687341

−0.517116

(0.37755)

(0.04801)