Date: 06/25/15 Time: 22:41 Sample (adjusted): 6/21/2004 6/19/2015 Included observations: 2770 after adjustments Trend assumption: Linear deterministic trend Series: D(TY30) D(JLL) D(COLLIERS) D(CBRE) Lags interval (in first differences): 1 to 1 Unrestricted Cointegration Rank Test (Trace) | ||||
Hypothesized No. of CE(s) | Eigenvalue | Trace Statistic | 0.05 Critical Value | Prob.** |
None* | 0.390098 | 4920.524 | 47.85613 | 1.0000 |
At most 1* | 0.372259 | 3550.876 | 29.79707 | 1.0000 |
At most 2* | 0.357713 | 2261.089 | 15.49471 | 1.0000 |
At most 3* | 0.311719 | 1034.756 | 3.841466 | 0.0000 |
Trace test indicates 4 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 No. of CE(s) | Eigenvalue | Max-Eigen Statistic | 0.05 Critical Value | Prob.** |
None* | 0.390098 | 1369.648 | 27.58434 | 0.0000 |
At most 1* | 0.372259 | 1289.787 | 21.13162 | 1.0000 |
At most 2* | 0.357713 | 1226.333 | 14.26460 | 1.0000 |
At most 3* | 0.311719 | 1034.756 | 3.841466 | 0.0000 |
Max-eigenvalue test indicates 4 cointegrating eqn(s) at the 0.05 level; *denotes rejection of the hypothesis at the 0.05 level; **MacKinnon-Haug-Michelis (1999) p-values. |