Characteristic root tracing test

CE

CV

Trace statistic

5% Critical value

Prob.**

None*

0.903956

57.39438

35.01090

0.0001

At most 1*

0.781349

26.93610

18.39771

0.0025

At most 2*

0.424046

7.172459

3.841466

0.0074

Max-eigenvalue test

CE

CV

Max-Eigen

5% Critical value

Prob.**

None*

0.903956

30.45828

24.25202

0.0066

At most 1*

0.781349

19.76364

17.14769

0.0204

At most 2*

0.424046

7.172459

3.841466

0.0074

Standardization of cointegration vector

ZHEIT

ZHGDP

ZHEDT

1.000000

−11.70409

−4.270640

(2.31841)

(0.85188)