 Johansen Cointegration Test

 Specification

 Deterministic terms Constant in cointegrating equation
 Lags in VECM N
 Observations N
 Number of variables N

 Trace Test

 H₀: rank ≤ r Statistic N% CV P-value Decision

 N N N N Reject
 N N N N
 N N N N

 Maximum Eigenvalue Test

 H₀: rank = r Statistic N% CV P-value Decision

 N N N N Reject
 N N N N
 N N N N

 Eigenvalues

 λN λN λN

 N N N


 Conclusion Estimated cointegration rank = N
 Note pN, pN, pN
