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.