Johansen Cointegration Test

Date: 05/11/21 Time: 23:57

Sample (adjusted): 1994 2019
Included observations: 26 after adjustments
Trend assumption: Linear deterministic trend
Series: D_DAX D_GDP D_INF D_UNE
Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.768976 76.85975 47.85613 0.0000

At most 1 * 0.612608 38.76368 29.79707 0.0036
At most 2 0.336732 14.10741 15.49471 0.0800
At most 3 0.123673 3.432411 3.841465 0.0639

Trace test indicates 2 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 Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.768976 38.09608 27.58434 0.0016

At most 1 * 0.612608 24.65627 21.13162 0.0153
At most 2 0.336732 10.67500 14.26460 0.1713
At most 3 0.123673 3.432411 3.841465 0.0639

Max-eigenvalue test indicates 2 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 Cointegrating Coefficients (normalized by b'*S11*b=I):

D_DAX D_GDP D_INF D_UNE

-0.000710 0.002624 -1.616203 -0.033272
-0.000287 -0.001295 -0.976535 -1.033806
-0.001237 -0.000584 0.777390 0.657808
0.000493 0.001108 -1.670829 1.391944

Unrestricted Adjustment Coefficients (alpha):

D(D_DAX) 352.5942 204.0640 695.4697 256.4108

D(D_GDP) -453.1827 395.5311 30.01118 45.69149
D(D_INF) 0.153674 0.571753 -0.074397 0.109707
D(D_UNE) 0.224126 0.102565 0.047307 -0.112973

1 Cointegrating Equation(s): Log likelihood -455.6701

Normalized cointegrating coefficients (standard error in parentheses)

D_DAX D_GDP D_INF D_UNE
1.000000 -3.697921 2277.692 46.88961
(0.54917) (453.951) (319.620)

Adjustment coefficients (standard error in parentheses)

D(D_DAX) -0.250194
(0.22847)
D(D_GDP) 0.321569
(0.09206)
D(D_INF) -0.000109
(0.00013)
D(D_UNE) -0.000159
(6.0E-05)
 Johansen Cointegration Test

2 Cointegrating Equation(s): Log likelihood -443.3419

Normalized cointegrating coefficients (standard error in parentheses)

D_DAX D_GDP D_INF D_UNE
1.000000 0.000000 2782.758 1647.455
(597.483) (496.632)
0.000000 1.000000 136.5811 432.8284
(158.817) (132.010)

Adjustment coefficients (standard error in parentheses)

D(D_DAX) -0.308838 0.661005
(0.24400) (0.93257)
D(D_GDP) 0.207901 -1.701209
(0.07267) (0.27773)
D(D_INF) -0.000273 -0.000337
(9.8E-05) (0.00037)
D(D_UNE) -0.000189 0.000455
(6.2E-05) (0.00024)

3 Cointegrating Equation(s): Log likelihood -438.0044

Normalized cointegrating coefficients (standard error in parentheses)

D_DAX D_GDP D_INF D_UNE
1.000000 0.000000 0.000000 -260.9108
(343.755)
0.000000 1.000000 0.000000 339.1635
(113.694)
0.000000 0.000000 1.000000 0.685782
(0.19761)

Adjustment coefficients (standard error in parentheses)

D(D_DAX) -1.169166 0.254853 -228.4882
(0.40473) (0.83009) (568.124)
D(D_GDP) 0.170776 -1.718736 369.5156
(0.13774) (0.28250) (193.344)
D(D_INF) -0.000181 -0.000294 -0.864540
(0.00018) (0.00038) (0.25912)
D(D_UNE) -0.000247 0.000428 -0.425615
(0.00012) (0.00024) (0.16423)