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) |
|