Characteristic root tracing test | ||||
CE | CV | Trace statistic | 5% Critical value | Prob.** |
None* | 0.869832 | 57.31706 | 35.01090 | 0.0001 |
At most 1* | 0.750552 | 28.77208 | 18.39771 | 0.0013 |
At most 2* | 0.486572 | 9.333025 | 3.841466 | 0.0023 |
Max-eigenvalue test | ||||
CE | CV | Max-Eigen | 5% Critical value | Prob.** |
None* | 0.869832 | 28.54497 | 24.25202 | 0.0127 |
At most 1* | 0.750552 | 19.43906 | 17.14769 | 0.0229 |
At most 2* | 0.486572 | 9.333025 | 3.841466 | 0.0023 |
Standardization of cointegration vector | ||||
| SZEIT | SZGDP | SZEDT |
|
| 1.000000 | −0.073628 | −2.031873 |
|
|
| (0.11316) | (0.04978) |
|