I am trying to conduct the Johansen tests for cointegration. I use the vecrank command, but
It turned out to be
0 3843.5017* .
1 2207.0180 .
2 489.9710 277.71
3 932.8196 233.13
4 595.2966 192.89
5 382.8773 156.00
6 210.1910 124.24
7 108.1428 94.15
8 50.4138 68.52
9 23.4539 47.21
10 8.1355 29.68
and there are some values below these line. Why there are . in the 5% critical value, and if the stata chooses max rank is 0, does this mean that there is no cointegration? Since the trace statistics below show that in rank 8, the trace statistics is below 5% critical value.
Thanks,
It turned out to be
| rank | trace statistic | 5% critical value |
1 2207.0180 .
2 489.9710 277.71
3 932.8196 233.13
4 595.2966 192.89
5 382.8773 156.00
6 210.1910 124.24
7 108.1428 94.15
8 50.4138 68.52
9 23.4539 47.21
10 8.1355 29.68
and there are some values below these line. Why there are . in the 5% critical value, and if the stata chooses max rank is 0, does this mean that there is no cointegration? Since the trace statistics below show that in rank 8, the trace statistics is below 5% critical value.
Thanks,
