8/19/2019 Johansen Cointegration Test
1/40
ADF (constant) At level
Null Hypothesis: LOG_GP has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 0-0.// 011-2
3est critical 4alues: 56 le4el .72005-76 le4el -51270
506 le4el 7-228-
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation*epen"ent uste"&: 5-2 05/#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 000.7/8 '* "epen"ent 4ar 05-22.7
'E o? regression 05-2-8. A+ai+e in?o criterion 0.1/.-5
'um s;uare" resi" 5-18-5 'charB criterion 0.000/5Log li+elihoo" 55-5.1 Hannanuinn criter 0./7800
,statistic 0852517 *ur!inDatson stat 551787-
Pro!(,statistic& 0.107/8
Null Hypothesis: LOG_'* has a unit rootExogenous: Constant
Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 5-/801 0.08/
3est critical 4alues: 56 le4el .72005-76 le4el -51270
506 le4el 7-228-
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
8/19/2019 Johansen Cointegration Test
2/40
*epen"ent uste"&: 5-2 05/
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 00/-/25 '* "epen"ent 4ar 0-7/28
'E o? regression 088028 A+ai+e in?o criterion 0.87128'um s;uare" resi" /.572 'charB criterion 0/2055-
Log li+elihoo" 882. Hannanuinn criter 0/5/.20
,statistic .10785 *ur!inDatson stat 525807Pro!(,statistic& 007-80-
8/19/2019 Johansen Cointegration Test
3/40
Null Hypothesis: LOG_@#@ has a unit root
Exogenous: ConstantLag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 7/17 05-0
3est critical 4alues: 56 le4el .72005-
76 le4el -51270
506 le4el 7-228-
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
*epen"ent uste"&: 5-2 05/
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 001852 '* "epen"ent 4ar 0/58-8
'E o? regression 0/02/1 A+ai+e in?o criterion 501.-/'um s;uare" resi" 8/5282 'charB criterion 55/12/7
Log li+elihoo" 2//- Hannanuinn criter 5505882,statistic 708.18. *ur!inDatson stat 510//
Pro!(,statistic& 008/1.
8/19/2019 Johansen Cointegration Test
4/40
ADF (trend) At level
Null Hypothesis: LOG_GP has a unit root
Exogenous: Constant$ Linear 3ren"Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 5.1.-.5 0871.
3est critical 4alues: 56 le4el /5/087876 le4el ./-2-20
506 le4el .51171-
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
*epen"ent uste"&: 5-2 05/
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 0000./8 '* "epen"ent 4ar 05-22.7
'E o? regression 05-222- A+ai+e in?o criterion 0.7-275
'um s;uare" resi" 5-..-./ 'charB criterion 0/857
Log li+elihoo" 57.017 Hannanuinn criter 0.5212/,statistic 0--0-// *ur!inDatson stat 55/1.8.
Pro!(,statistic& 0.18.-8
Null Hypothesis: LOG_'* has a unit root
Exogenous: Constant$ Linear 3ren"Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 5-7-58 0215
3est critical 4alues: 56 le4el /5/0878
8/19/2019 Johansen Cointegration Test
5/40
76 le4el ./-2-20
506 le4el .51171-
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
*epen"ent
8/19/2019 Johansen Cointegration Test
6/40
'um s;uare" resi" .857/2 'charB criterion 0/.-1/
Log li+elihoo" 7758.21 Hannanuinn criter 0.2/..7
,statistic /2-1-5. *ur!inDatson stat 52-1-1Pro!(,statistic& 005.705
Null Hypothesis: LOG_@#@ has a unit rootExogenous: Constant$ Linear 3ren"
Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 02/15 0/12
3est critical 4alues: 56 le4el /5/087876 le4el ./-2-20
506 le4el .51171-
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
*epen"ent uste"&: 5-2 05/
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 007/1/ '* "epen"ent 4ar 0/58-8
'E o? regression 0/508- A+ai+e in?o criterion 555508
'um s;uare" resi" 8/528/1 'charB criterion 577/
Log li+elihoo" 2/// Hannanuinn criter 557.-52,statistic /-0-1 *ur!inDatson stat 510//58
Pro!(,statistic& 00--2
8/19/2019 Johansen Cointegration Test
7/40
ADF (constant) 1st diff
Null Hypothesis: *(LOG_GP& has a unit rootExogenous: Constant
Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic /771-7 00007
3est critical 4alues: 56 le4el .7222-
76 le4el -58118506 le4el 7-187
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 01-/02 '* "epen"ent 4ar 057888'E o? regression 058.2 A+ai+e in?o criterion 07580-/
'um s;uare" resi" 521-7. 'charB criterion 0//.0/1
Log li+elihoo" 57/10/2 Hannanuinn criter 0/8-..,statistic 011/- *ur!inDatson stat 5110.2
Pro!(,statistic& 00000./
Null Hypothesis: *(LOG_'*& has a unit rootExogenous: Constant
8/19/2019 Johansen Cointegration Test
8/40
Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 70/8581 00005
3est critical 4alues: 56 le4el .7222-
76 le4el -58118506 le4el 7-187
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
8/19/2019 Johansen Cointegration Test
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@s;uare" 0/77-2 9ean "epen"ent 4ar 0007.1
A">uste" @s;uare" 0/5/508 '* "epen"ent 4ar 0.88108
'E o? regression 0-17.5 A+ai+e in?o criterion 0/7550.'um s;uare" resi" //25 'charB criterion 072570
Log li+elihoo" -1822- Hannanuinn criter 0/1-81/
,statistic .10/28 *ur!inDatson stat 5-0-717Pro!(,statistic& 0000000
Null Hypothesis: *(LOG_@#@& has a unit root
Exogenous: ConstantLag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 225778 00000
3est critical 4alues: 56 le4el .7222-
76 le4el -58118
506 le4el 7-187
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 0/72088 '* "epen"ent 4ar 078017
'E o? regression 0/-8 A+ai+e in?o criterion 558/--'um s;uare" resi" -5/521 'charB criterion 57-./1
Log li+elihoo" 81-511 Hannanuinn criter 55.010
,statistic /.1275 *ur!inDatson stat 5-20887
Pro!(,statistic& 0000000
8/19/2019 Johansen Cointegration Test
10/40
ADF (trend) 1st diff
Null Hypothesis: *(LOG_GP& has a unit root
Exogenous: Constant$ Linear 3ren"
Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic /7.1./ 000.7
3est critical 4alues: 56 le4el /5//78/
76 le4el ./-82-
506 le4el .518718
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 022-55 '* "epen"ent 4ar 057888'E o? regression 058/8// A+ai+e in?o criterion 0/82/7
'um s;uare" resi" 521/0. 'charB criterion 0.1001.
Log li+elihoo" 577/812 Hannanuinn criter 0/.-/81
8/19/2019 Johansen Cointegration Test
11/40
,statistic 508/. *ur!inDatson stat 511/2-/
Pro!(,statistic& 0000582
Null Hypothesis: *(LOG_'*& has a unit root
Exogenous: Constant$ Linear 3ren"
Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic /--702/ 0000-
3est critical 4alues: 56 le4el /5//78/
76 le4el ./-82-506 le4el .518718
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation
*epen"ent
8/19/2019 Johansen Cointegration Test
12/40
9etho": Least ';uares
*ate: 0=1=52 3ime: 52:01
'ample (a">uste"&: 5-2. 05/#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 0/52.- '* "epen"ent 4ar 0.88108'E o? regression 0-2-8- A+ai+e in?o criterion 0/27158
'um s;uare" resi" /.5- 'charB criterion 0718-0
Log li+elihoo" -50821. Hannanuinn criter 0708812
,statistic 5-581 *ur!inDatson stat 5-5/-72Pro!(,statistic& 0000005
Null Hypothesis: *(LOG_@#@& has a unit root
Exogenous: Constant$ Linear 3ren"
Lag Length: 0 (Automatic !ase" on A#C$ maxlag%0&
t'tatistic Pro!)
Augmente" *ic+ey,uller test statistic 272/0-2 00000
3est critical 4alues: 56 le4el /5//78/
76 le4el ./-82-
506 le4el .518718
)9acinnon (5--2& onesi"e" p4alues
Augmente" *ic+ey,uller 3est E;uation*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 0//2518 '* "epen"ent 4ar 078017'E o? regression 0/..512 A+ai+e in?o criterion 5025/
'um s;uare" resi" -5-//55 'charB criterion 5...582
Log li+elihoo" 81.7-2 Hannanuinn criter 52.115
,statistic 57/.28 *ur!inDatson stat 5-258//Pro!(,statistic& 0000000
8/19/2019 Johansen Cointegration Test
13/40
PP(constant) At level
Null Hypothesis: LOG_GP has a unit rootExogenous: Constant
an"i"th: 0 (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic 0-0.// 011-2
3est critical 4alues: 56 le4el .72005-
76 le4el -51270
506 le4el 7-228-
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 00.1..8
HAC correcte" 4ariance (artlett +ernel& 00.1..8
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2 05/
8/19/2019 Johansen Cointegration Test
14/40
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 000.7/8 '* "epen"ent 4ar 05-22.7
'E o? regression 05-2-8. A+ai+e in?o criterion 0.1/.-5'um s;uare" resi" 5-18-5 'charB criterion 0.000/5
Log li+elihoo" 55-5.1 Hannanuinn criter 0./7800
,statistic 0852517 *ur!inDatson stat 551787-Pro!(,statistic& 0.107/8
Null Hypothesis: LOG_'* has a unit root
Exogenous: Constant
an"i"th: (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic ./081/ 052./
3est critical 4alues: 56 le4el .72005-76 le4el -51270
506 le4el 7-228-
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 000/80/
HAC correcte" 4ariance (artlett +ernel& 00017/
PhillipsPerron 3est E;uation
*epen"ent
8/19/2019 Johansen Cointegration Test
15/40
Null Hypothesis: LOG_#N, has a unit root
Exogenous: Constant
an"i"th: / (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic 5-2-.-5 0--5
3est critical 4alues: 56 le4el .72005-
76 le4el -51270
506 le4el 7-228-
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 001-87
HAC correcte" 4ariance (artlett +ernel& 008/-1/
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2 05/
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 00/-/25 '* "epen"ent 4ar 0-7/28'E o? regression 088028 A+ai+e in?o criterion 0.87128
'um s;uare" resi" /.572 'charB criterion 0/2055-Log li+elihoo" 882. Hannanuinn criter 0/5/.20,statistic .10785 *ur!inDatson stat 525807
Pro!(,statistic& 007-80-
Null Hypothesis: LOG_@#@ has a unit root
Exogenous: Constant
an"i"th: 5 (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic /0/1/ 05/7.
3est critical 4alues: 56 le4el .72005-
76 le4el -51270
506 le4el 7-228-
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 057880-HAC correcte" 4ariance (artlett +ernel& 0585
8/19/2019 Johansen Cointegration Test
16/40
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2 05/
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 001852 '* "epen"ent 4ar 0/58-8
'E o? regression 0/02/1 A+ai+e in?o criterion 501.-/
'um s;uare" resi" 8/5282 'charB criterion 55/12/7
Log li+elihoo" 2//- Hannanuinn criter 5505882,statistic 708.18. *ur!inDatson stat 510//
Pro!(,statistic& 008/1.
PP(trend) At level
Null Hypothesis: LOG_GP has a unit root
Exogenous: Constant$ Linear 3ren"an"i"th: 5 (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic 52/.- 012--
3est critical 4alues: 56 le4el /5/087876 le4el ./-2-20
506 le4el .51171-
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 00.2/8-
8/19/2019 Johansen Cointegration Test
17/40
HAC correcte" 4ariance (artlett +ernel& 00751.7
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2 05/
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 0000./8 '* "epen"ent 4ar 05-22.7
'E o? regression 05-222- A+ai+e in?o criterion 0.7-275
'um s;uare" resi" 5-..-./ 'charB criterion 0/857
Log li+elihoo" 57.017 Hannanuinn criter 0.5212/,statistic 0--0-// *ur!inDatson stat 55/1.8.
Pro!(,statistic& 0.18.-8
Null Hypothesis: LOG_'* has a unit root
Exogenous: Constant$ Linear 3ren"
an"i"th: (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic ../8 0/5//
3est critical 4alues: 56 le4el /5/0878
76 le4el ./-2-20506 le4el .51171-
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 000/80/
HAC correcte" 4ariance (artlett +ernel& 00017/
PhillipsPerron 3est E;uation*epen"ent
8/19/2019 Johansen Cointegration Test
18/40
A">uste" @s;uare" 00.071 '* "epen"ent 4ar 0017-
'E o? regression 0015.71 A+ai+e in?o criterion .81.50
'um s;uare" resi" 07/7-0 'charB criterion 1718/Log li+elihoo" 222.15 Hannanuinn criter .///
,statistic 5825018 *ur!inDatson stat 5815-/
Pro!(,statistic& 0522551
Null Hypothesis: LOG_#N, has a unit root
Exogenous: Constant$ Linear 3ren"
an"i"th: 50 (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic 2.-711 027.
3est critical 4alues: 56 le4el /5/087876 le4el ./-2-20
506 le4el .51171-
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 001507
HAC correcte" 4ariance (artlett +ernel& 00.1-..
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2 05/#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 05/758 '* "epen"ent 4ar 0-7/28'E o? regression 012/25 A+ai+e in?o criterion 0.5//8
'um s;uare" resi" .857/2 'charB criterion 0/.-1/
Log li+elihoo" 7758.21 Hannanuinn criter 0.2/..7,statistic /2-1-5. *ur!inDatson stat 52-1-1Pro!(,statistic& 005.705
Null Hypothesis: LOG_@#@ has a unit root
Exogenous: Constant$ Linear 3ren"an"i"th: 5 (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic .2-7 0.-/5
8/19/2019 Johansen Cointegration Test
19/40
3est critical 4alues: 56 le4el /5/0878
76 le4el ./-2-20
506 le4el .51171-
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 0578808
HAC correcte" 4ariance (artlett +ernel& 0585-1
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2 05/
#nclu"e" o!ser4ations: 7. a?ter a">ustments
uste" @s;uare" 007/1/ '* "epen"ent 4ar 0/58-8
'E o? regression 0/508- A+ai+e in?o criterion 555508
'um s;uare" resi" 8/528/1 'charB criterion 577/Log li+elihoo" 2/// Hannanuinn criter 557.-52
,statistic /-0-1 *ur!inDatson stat 510//58
Pro!(,statistic& 00--2
PP(constant) 1st diff
Null Hypothesis: *(LOG_GP& has a unit root
Exogenous: Constantan"i"th: 7 (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
8/19/2019 Johansen Cointegration Test
20/40
PhillipsPerron test statistic /2.781 0005.
3est critical 4alues: 56 le4el .7222-
76 le4el -58118506 le4el 7-187
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 00.-.
HAC correcte" 4ariance (artlett +ernel& 008.1
PhillipsPerron 3est E;uation*epen"ent uste"&: 5-2. 05/#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 01-/02 '* "epen"ent 4ar 057888
'E o? regression 058.2 A+ai+e in?o criterion 07580-/
'um s;uare" resi" 521-7. 'charB criterion 0//.0/1Log li+elihoo" 57/10/2 Hannanuinn criter 0/8-..
,statistic 011/- *ur!inDatson stat 5110.2
Pro!(,statistic& 00000./
Null Hypothesis: *(LOG_'*& has a unit rootExogenous: Constant
an"i"th: / (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic /-1.-/. 00005
3est critical 4alues: 56 le4el .7222-
76 le4el -58118506 le4el 7-187
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 000/1/8
HAC correcte" 4ariance (artlett +ernel& 000/.27
PhillipsPerron 3est E;uation*epen"ent
8/19/2019 Johansen Cointegration Test
21/40
#nclu"e" o!ser4ations: 7 a?ter a">ustments
8/19/2019 Johansen Cointegration Test
22/40
Exogenous: Constant
an"i"th: / (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic 22/.80/ 00000
3est critical 4alues: 56 le4el .7222-76 le4el -58118
506 le4el 7-187
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 05115-2HAC correcte" 4ariance (artlett +ernel& 0557527
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 0/72088 '* "epen"ent 4ar 078017
'E o? regression 0/-8 A+ai+e in?o criterion 558/--'um s;uare" resi" -5/521 'charB criterion 57-./1
Log li+elihoo" 81-511 Hannanuinn criter 55.010,statistic /.1275 *ur!inDatson stat 5-20887Pro!(,statistic& 0000000
8/19/2019 Johansen Cointegration Test
23/40
PP(trend) 1st diff
Null Hypothesis: *(LOG_GP& has a unit root
Exogenous: Constant$ Linear 3ren"
an"i"th: 7 (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic /57271 0008.
3est critical 4alues: 56 le4el /5//78/
76 le4el ./-82-
506 le4el .518718
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 00.5-2
HAC correcte" 4ariance (artlett +ernel& 00/28
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 022-55 '* "epen"ent 4ar 057888
'E o? regression 058/8// A+ai+e in?o criterion 0/82/7
'um s;uare" resi" 521/0. 'charB criterion 0.1001.Log li+elihoo" 577/812 Hannanuinn criter 0/.-/81
,statistic 508/. *ur!inDatson stat 511/2-/
Pro!(,statistic& 0000582
Null Hypothesis: *(LOG_'*& has a unit root
Exogenous: Constant$ Linear 3ren"an"i"th: / (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic /-58-85 00055
3est critical 4alues: 56 le4el /5//78/
76 le4el ./-82-506 le4el .518718
)9acinnon (5--2& onesi"e" p4alues
8/19/2019 Johansen Cointegration Test
24/40
@esi"ual 4ariance (no correction& 000/1/2
HAC correcte" 4ariance (artlett +ernel& 000/.27
PhillipsPerron 3est E;uation*epen"ent t'tat Pro!)
PhillipsPerron test statistic 2.0./ 00000
3est critical 4alues: 56 le4el /5//78/76 le4el ./-82-
506 le4el .518718
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 008.55/HAC correcte" 4ariance (artlett +ernel& 00/5.1
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
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@s;uare" 0/.-5. 9ean "epen"ent 4ar 0007.1
A">uste" @s;uare" 0/52.- '* "epen"ent 4ar 0.88108
'E o? regression 0-2-8- A+ai+e in?o criterion 0/27158'um s;uare" resi" /.5- 'charB criterion 0718-0
Log li+elihoo" -50821. Hannanuinn criter 0708812
,statistic 5-581 *ur!inDatson stat 5-5/-72Pro!(,statistic& 0000005
Null Hypothesis: *(LOG_@#@& has a unit root
Exogenous: Constant$ Linear 3ren"an"i"th: / (NeeyDest automatic& using artlett +ernel
A"> t'tat Pro!)
PhillipsPerron test statistic 278281. 00000
3est critical 4alues: 56 le4el /5//78/
76 le4el ./-82-
506 le4el .518718
)9acinnon (5--2& onesi"e" p4alues
@esi"ual 4ariance (no correction& 0512852HAC correcte" 4ariance (artlett +ernel& 055-50
PhillipsPerron 3est E;uation
*epen"ent uste"&: 5-2. 05/
#nclu"e" o!ser4ations: 7 a?ter a">ustments
uste" @s;uare" 0//2518 '* "epen"ent 4ar 078017
'E o? regression 0/..512 A+ai+e in?o criterion 5025/
'um s;uare" resi" -5-//55 'charB criterion 5...582Log li+elihoo" 81.7-2 Hannanuinn criter 52.115,statistic 57/.28 *ur!inDatson stat 5-258//
Pro!(,statistic& 0000000
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JOHANSEN COINTEGATION TEST
*ate: 0=/=52 3ime: 5:..
'ample (a">uste"&: 5-2/ 05/#nclu"e" o!ser4ations: 75 a?ter a">ustments
3ren" assumption: Linear "eterministic tren"
'eries: LOG_GP LOG_'* LOG_#N, LOG_@#@Lags inter4al (in ?irst "i??erences&: 5 to
nrestricte" Cointegration @an+ 3est (3race&
HypothesiBe" 3race 007
No o? CE(s& Eigen4alue 'tatistic Critical ection o? the hypothesis at the 007 le4el ))9acinnonHaug9ichelis (5---& p4alues
nrestricte" Cointegration @an+ 3est (9aximum Eigen4alue&
HypothesiBe" 9axEigen 007 No o? CE(s& Eigen4alue 'tatistic Critical ection o? the hypothesis at the 007 le4el
))9acinnonHaug9ichelis (5---& p4alues
nrestricte" Cointegrating Coe??icients (normaliBe" !y !I)'55)!%#&:
LOG_GP LOG_'* LOG_#N, LOG_@#@ 0017-7 508/081 057-- 5-.11
0077.15 512..1/ 0771./ 572-.7.
501-555 -.85/ 5-0--0 0-.01-0 0150// 0010-2. 5525/5 5502//.
nrestricte" A">ustment Coe??icients (alpha&:
*(LOG_GP& 007-. 0015012 005/712 000/81
*(LOG_'*& 00.21./ 0005... 0051708 00007./
*(LOG_#N,& 00-7/2/ 0005528 00-2/. 000.717*(LOG_@#@& 055-71 008/-- 008725 0058//
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5 Cointegrating E;uation(s&: Log li+elihoo" -008.55
NormaliBe" cointegrating coe??icients (stan"ar" error in parentheses&
LOG_GP LOG_'* LOG_#N, LOG_@#@ 5000000 .-87/ 7110511 2-15/5/
(11/7& (5.570.& (571770&
A">ustment coe??icients (stan"ar" error in parentheses&*(LOG_GP& 0005//.
(000021&
*(LOG_'*& 000505/ (0000/&
*(LOG_#N,& 0002./
(000500&
*(LOG_@#@& 000.-8 (0005/5&
Cointegrating E;uation(s&: Log li+elihoo" -82.1.8
NormaliBe" cointegrating coe??icients (stan"ar" error in parentheses&LOG_GP LOG_'* LOG_#N, LOG_@#@ 5000000 0000000 50///1 .2--8-
(-110.& (50.81-&
0000000 5000000 00558-. 01520
(00/10& (00/7.-&
A">ustment coe??icients (stan"ar" error in parentheses&
*(LOG_GP& 000/- 0//5710 (0005./& (0.172&
*(LOG_'*& 0000-/0 0.-788
(00007.& (00-//0&
*(LOG_#N,& 0002-- 50.2-1/ (000/& (0.-125&
*(LOG_@#@& 000800/ 5//727
(000.0/& (07/071&
. Cointegrating E;uation(s&: Log li+elihoo" 507801.
NormaliBe" cointegrating coe??icients (stan"ar" error in parentheses&
LOG_GP LOG_'* LOG_#N, LOG_@#@
5000000 0000000 0000000 812-52/
(.0180&
0000000 5000000 0000000 05-700 (00.72.&
0000000 0000000 5000000 /.8.0. (551022&
A">ustment coe??icients (stan"ar" error in parentheses&
*(LOG_GP& 0058 07125/- 007-50- (00.7& (0.082& (00/-&
*(LOG_'*& 0051-7/ 07717.. 008.
(000885& (0552-5& (00522&*(LOG_#N,& 0502772 05/8.8 05--201
(00.720& (0/17/& (002715&
*(LOG_@#@& 00.887 5585-70 050-7
(007-8& (010.8& (00-180&
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!ector Error Correction Esti"ates
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*(LOG_'*(&& 00818 00..12- 07788. 0.//-8
(0.8817& (057//1& (027022& (088/20&K 007887 K 05825 K08/-1 K 0270-
*(LOG_#N,(5&& 05/2/ 00/878 00.705. 0.-.78 (00827.& (00./.8& (05//8& (05-28-&
K52/8./ K 5/5.0 K 0/511 K 5--11
*(LOG_#N,(&& 05/277/ 005080 0./208. 052/.18 (008/& (00.28& (05.12/& (05815.&
K51855 K 0..55. K75/.- K 0818/
*(LOG_@#@(5&& 0/.581 0071. 0.72/ 00.072.
(002857& (00108& (055/01& (057708&
K .728.5 K55./0 K 87/22 K05-108
*(LOG_@#@(&& 055787- 00.025 0052- 07./.0-
(001505& (008& (055887& (052578&
K 52.57- K50875 K 0585-8 K..0210
C 0011171 000872 00007// 001-1 (0027-& (005071& (00//75& (002075&
K -/5- K 0108 K005. K0.1211
@s;uare" 075505 0/.7.2 0.-.10- 0/725/
A"> @s;uare" 0.88127 0-/578 0/5.2 0.57121 'um s; resi"s 0-185-. 057///- 1/01- 702700
'E e;uation 0572.80 0025.- 0251.8 0.778/7
,statistic /58052. .08.1.1 7-1/-. ..01/71 Log li+elihoo" 8/71- 177282 5-0525 5./1///
A+ai+e A#C 028/2/ 7.0/27 0./7/8/ 0-7-18
'charB 'C 021-72 55.1-1 01257 5.12/70
9ean "epen"ent 0010.5/ 000/81 0007022 005/18 '* "epen"ent 0000 001.-2 0.00271 0/.0588
*eterminant resi" co4ariance ("o? a">& 2/-E01
*eterminant resi" co4ariance /2E01 Log li+elihoo" -82.1.8
A+ai+e in?ormation criterion 588-51
'charB criterion 05/0188
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*(LOG_GP& % C(5&)( LOG_GP(5& M 50///218//2)LOG_#N,(5&
.2--88-775.)LOG_@#@(5& M 1017-8811/ & M C(&)( LOG_'*(5& M00558-.5-11-)LOG_#N,(5& 01525--0..27)LOG_@#@(5& 571/77-/-18 & M
C(.&)*(LOG_GP(5&& M C(/&)*(LOG_GP(&& M C(7&)*(LOG_'*(5&& M
C(2&)*(LOG_'*(&& M C(1&)*(LOG_#N,(5&& M C(8&)*(LOG_#N,(&& MC(-&)*(LOG_@#@(5&& M C(50&)*(LOG_@#@(&& M C(55&
*(LOG_'*& % C(5&)( LOG_GP(5& M 50///218//2)LOG_#N,(5&
.2--88-775.)LOG_@#@(5& M 1017-8811/ & M C(5.&)( LOG_'*(5& M00558-.5-11-)LOG_#N,(5& 01525--0..27)LOG_@#@(5& 571/77-/-18 & M
C(5/&)*(LOG_GP(5&& M C(57&)*(LOG_GP(&& M C(52&)*(LOG_'*(5&& M
C(51&)*(LOG_'*(&& M C(58&)*(LOG_#N,(5&& M C(5-&)*(LOG_#N,(&& M
C(0&)*(LOG_@#@(5&& M C(5&)*(LOG_@#@(&& M C(&
*(LOG_#N,& % C(.&)( LOG_GP(5& M 50///218//2)LOG_#N,(5&
.2--88-775.)LOG_@#@(5& M 1017-8811/ & M C(/&)( LOG_'*(5& M00558-.5-11-)LOG_#N,(5& 01525--0..27)LOG_@#@(5& 571/77-/-18 & M
C(7&)*(LOG_GP(5&& M C(2&)*(LOG_GP(&& M C(1&)*(LOG_'*(5&& M
C(8&)*(LOG_'*(&& M C(-&)*(LOG_#N,(5&& M C(.0&)*(LOG_#N,(&& MC(.5&)*(LOG_@#@(5&& M C(.&)*(LOG_@#@(&& M C(..&
*(LOG_@#@& % C(./&)( LOG_GP(5& M 50///218//2)LOG_#N,(5&
.2--88-775.)LOG_@#@(5& M 1017-8811/ & M C(.7&)( LOG_'*(5& M00558-.5-11-)LOG_#N,(5& 01525--0..27)LOG_@#@(5& 571/77-/-18 & M
C(.2&)*(LOG_GP(5&& M C(.1&)*(LOG_GP(&& M C(.8&)*(LOG_'*(5&& MC(.-&)*(LOG_'*(&& M C(/0&)*(LOG_#N,(5&& M C(/5&)*(LOG_#N,(&& MC(/&)*(LOG_@#@(5&& M C(/.&)*(LOG_@#@(&& M C(//&
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*epen"ent uste"&: 5-2/ 05/
#nclu"e" o!ser4ations: 75 a?ter a">ustments*(LOG_GP& % C(5&)( LOG_GP(5& M 50///218//2)LOG_#N,(5&
.2--88-775.)LOG_@#@(5& M 1017-8811/ & MC(&)( LOG_'*(
5& M 00558-.5-11-)LOG_#N,(5& 01525--0..27)LOG_@#@(
5& 571/77-/-18 & M C(.&)*(LOG_GP(5&& M C(/&)*(LOG_GP(&& M
C(7&)*(LOG_'*(5&& M C(2&)*(LOG_'*(&& M
C(1&)*(LOG_#N,(5&&
M C(8&)*(LOG_#N,(&& M C(-&)*(LOG_@#@(5&& MC(50&)*(LOG_@#@(
&& M C(55&
Coe??icient 't" Error t'tatistic Pro!
C(5& 000/- 0005.77 58.-87- 001.
C(& 0//5710 0/070- 58.7-18 001.8C(.& 0.850 057/1- 57//05 05.07
C(/& 07-1.0 0527.// 57108/1 05/5
C(7& 0/-875 0.212-1 5.7707- 058.0
C(2& 00818 0.88170 0078870 0-7./C(1& 05/2/ 008272 52/8..1 05015
C(8& 05/277/ 008.2 51855. 008.
C(-& 0/.581 002857 .728.5. 00050C(50& 055787- 0015050 52.57-5 05502
C(55& 0011171 0027-5 -/5-0 00071
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@s;uare" 075505 9ean "epen"ent 4ar 0010.5/
A">uste" @s;uare" 0.88127 '* "epen"ent 4ar 0000
'E o? regression 0572.80 A+ai+e in?o criterion 028/2/'um s;uare" resi" 0-185-. 'charB criterion 021-72
Log li+elihoo" 8/71- Hannanuinn criter 077/0.
,statistic /58052. *ur!inDatson stat 587/08-Pro!(,statistic& 00007.7
Dal" 3est:
E;uation: ntitle"
3est 'tatistic
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3est 'tatistic uste"&: 5-2/ 05/
#nclu"e" o!ser4ations: 75 a?ter a">ustments
*(LOG_'*& % C(5&)( LOG_GP(5& M 50///218//2)LOG_#N,(5&
.2--88-775.)LOG_@#@(5& M 1017-8811/ & M C(5.&)(
LOG_'*(5& M 00558-.5-11-)LOG_#N,(5& 01525--0..27 )LOG_@#@(5& 571/77-/-18 & M C(5/&)*(LOG_GP(5&& M C(57&
)*(LOG_GP(&& M C(52&)*(LOG_'*(5&& M C(51&)*(LOG_'*(&& M
C(58&)*(LOG_#N,(5&& M C(5-&)*(LOG_#N,(&& M
C(0&)*(LOG_@#@(
5&& M C(5&)*(LOG_@#@(&& M C(&
Coe??icient 't" Error t'tatistic Pro!
C(5& 0000-/0 00007.8 51/20 00887C(5.& 0.-788 00-7728 /5//07 0000
C(5/& 00//-2 0025.0/ 02-.0. 0/-C(57& 00./2 0027105 070-/5 0207.C(52& 01/7- 05/2501 582/18- 002-2
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C(51& 00..12- 057//1 058208 0885
C(58& 00/878 00./.8 5/5.0 0527/
C(5-& 005080 00.211 0..55- 01/.C(0& 0071. 001085 55..-7 00/0-
C(5& 00.025 00852 508708 08/.
C(& 000872 0050722 01012 0188.
@s;uare" 0/.7.2 9ean "epen"ent 4ar 000/81
A">uste" @s;uare" 0-/578 '* "epen"ent 4ar 001.-2
'E o? regression 0025.- A+ai+e in?o criterion 7.0/27'um s;uare" resi" 057///- 'charB criterion 55.1-1
Log li+elihoo" 177282 Hannanuinn criter .15//
,statistic .08.1.1 *ur!inDatson stat 5-8-17Pro!(,statistic& 0007.1
Dal" 3est:
E;uation: ntitle"
3est 'tatistic
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@estrictions are linear in coe??icients
Dal" 3est:
E;uation: ntitle"
3est 'tatistic
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Coe??icient 't" Error t'tatistic Pro!
C(.& 0002-- 00021 55-0..7 0/0-
C(/& 50.2-1/ 0/07/1 7120- 005.8
C(7& 0//00 0785 0-/7002 0.70.C(2& 05-8 0121/5 0//5-. 0220-
C(1& 027.2.1 0257/7 5020-0 0-/2
C(8& 07788. 027022 08/-17 0/007
C(-& 00.705. 05//85 0/512- 0850C(.0& 0./208. 05.12/5 75/.-/ 00520
C(.5& 0.72/ 055/028 87/278 00028
C(.& 0052- 0558875 0585-8. 08727C(..& 00007// 00//702 0057 0--0.
@s;uare" 0.-.10- 9ean "epen"ent 4ar 0007022A">uste" @s;uare" 0/5.2 '* "epen"ent 4ar 0.00271
'E o? regression 0251.8 A+ai+e in?o criterion 0./7/8/
'um s;uare" resi" 1/01- 'charB criterion 01257
Log li+elihoo" 5-0525 Hannanuinn criter 070/107,statistic 7-1/-. *ur!inDatson stat 0./088
Pro!(,statistic& 005728
Dal" 3est:
E;uation: ntitle"
3est 'tatistic
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Null Hypothesis 'ummary:
NormaliBe" @estriction (% 0&
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)LOG_@#@(5& 571/77-/-18 & M C(.2&)*(LOG_GP(5&& M C(.1&
)*(LOG_GP(&& M C(.8&)*(LOG_'*(5&& M C(.-&)*(LOG_'*(
&& M C(/0&)*(LOG_#N,(5&& M C(/5&)*(LOG_#N,(&& M
C(/&)*(LOG_@#@(
5&& M C(/.&)*(LOG_@#@(&& M C(//&
Coe??icient 't" Error t'tatistic Pro!
C(./& 000800/ 000.08. 7-27-0 005.5C(.7& 5//727 07/185 2/5758 00551
C(.2& 5502002 0.7502. .570/7/ 000.5
C(.1& 0-8/50. 0.12/5 257257 0057
C(.8& 5172-12 08.22-1 0--8-7 00/5C(.-& 0.//-8 088/20. 027088 01-.
C(/0& 0.-.78 05-28-5 5--11 007.5
C(/5& 052/.18 05815- 0818// 0.870C(/& 00.072. 0577080 05-1012 08//8
C(/.& 07./.0- 052578/ ..0210. 0000
C(//& 001-1 0020708 0.12122 0108.
@s;uare" 0/725/ 9ean "epen"ent 4ar 005/18A">uste" @s;uare" 0.57121 '* "epen"ent 4ar 0/.0588
'E o? regression 0.778/7 A+ai+e in?o criterion 0-7-18'um s;uare" resi" 702700 'charB criterion 5.12/70
Log li+elihoo" 5./1/// Hannanuinn criter 555-00.
,statistic ..01/71 *ur!inDatson stat 5-1/0-Pro!(,statistic& 000..50
Dal" 3est:
E;uation: ntitle"
3est 'tatistic
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,statistic .8.12. ($ /0& 0507Chis;uare /12172 00-
Null Hypothesis: C(.8&%C(.-&%0 Null Hypothesis 'ummary:
NormaliBe" @estriction (% 0&
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