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
