| Sample (adjusted): 1982Q2 2014Q4 Included observations: 131 after adjustments Trend assumption: Linear deterministic trend Series: ZARX R Lags interval (in first differences): 1 to 4 | ||||
| Unrestricted Cointegration Rank Test (Trace) |
| |||
| Hypothesized |
| Trace | 0.05 |
|
| No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** |
| None | 0.099364 | 13.84352 | 15.49471 | 0.0873 |
| At most 1 | 0.001021 | 0.133772 | 3.841466 | 0.7145 |
| Trace test indicates no cointegration 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 |
| Max-Eigen | 0.05 |
|
| No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** |
| None | 0.099364 | 13.70974 | 14.26460 | 0.0610 |
| At most 1 | 0.001021 | 0.133772 | 3.841466 | 0.7145 |
| Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values | ||||
| Unrestricted Cointegrating Coefficients (normalized by b’ * S11 * b = I): | ||||
| ZARX | R |
|
|
|
| 0.422452 | 0.363892 |
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|
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| 0.299547 | −0.065434 |
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| Unrestricted Adjustment Coefficients (alpha): |
| |||
| D(ZARX) | −0.058162 | −0.011648 |
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| D(R) | −0.320328 | 0.008697 |
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| 1 Cointegrating Equation(s): | Log likelihood | −251.4944 |
| |
| Normalized cointegrating coefficients (standard error in parentheses) | ||||
| ZARX | R |
|
|
|
| 1.000000 | 0.861381 |
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|
|
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| (0.17095) |
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| Adjustment coefficients (standard error in parentheses) |
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| D(ZARX) | −0.024571 |
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|
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| (0.01553) |
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| D(R) | −0.135323 |
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|
|
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| (0.03848) |
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