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Model with Constant Restricted in the Cointegrating Equation
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RC model - Critical Values
Frequency = 1
p=1
90% 95% 99%
Trace(1) 12.44508 14.74275 19.32823
Lambda(1) 12.44508 14.74275 19.32823
p=2
90% 95% 99%
Trace(1) 28.53365 31.37418 37.00037
Trace(2) 9.97186 11.19040 13.70612
Lambda(1) 20.51784 22.59453 26.97696
Lambda(2) 9.97186 11.19040 13.70612
p=3
90% 95% 99%
Trace(1) 45.28400 48.92995 55.02927
Trace(2) 21.20268 23.15950 27.06374
Trace(3) 7.60306 8.53566 10.62907
Lambda(1) 26.41120 28.89295 34.77758
Lambda(2) 14.89567 16.34407 19.15889
Lambda(3) 7.60306 8.53566 10.62907
p=4
90% 95% 99%
Trace(1) 67.75972 71.81054 80.69072
Trace(2) 37.89432 40.50014 45.49218
Trace(3) 19.01250 20.64798 23.65304
Trace(4) 7.12570 7.93909 9.64737
Lambda(1) 32.81662 35.39524 41.34965
Lambda(2) 20.64052 22.26699 25.41069
Lambda(3) 13.02261 14.12728 16.18769
Lambda(4) 7.12570 7.93909 9.64737
p=5
90% 95% 99%
Trace(1) 94.57595 99.11298 108.06549
Trace(2) 58.83172 61.89124 67.98843
Trace(3) 34.77676 36.76587 41.36299
Trace(4) 18.05876 19.58871 22.21905
Trace(5) 6.93833 7.73655 9.27800
Lambda(1) 38.99138 41.54859 47.41295
Lambda(2) 26.16975 27.83232 31.35904
Lambda(3) 18.18319 19.46743 21.98921
Lambda(4) 11.95739 12.88111 14.83823
Lambda(5) 6.93833 7.73655 9.27800
Frequency = 2
p=1
90% 95% 99%
Trace(1) 9.20649 11.22645 16.01961
Lambda(1) 9.20649 11.22645 16.01961
p=2
90% 95% 99%
Trace(1) 29.08182 31.86653 37.15365
Trace(2) 10.09551 11.32703 13.70300
Lambda(1) 20.72658 22.95830 27.44610
Lambda(2) 10.09551 11.32703 13.70300
p=3
90% 95% 99%
Trace(1) 38.79007 42.11900 48.61202
Trace(2) 16.72235 18.56882 22.03019
Trace(3) 5.46276 6.45301 8.02518
Lambda(1) 24.41557 26.90804 31.49482
Lambda(2) 12.48430 13.96674 16.94576
Lambda(3) 5.46276 6.45301 8.02518
p=4
90% 95% 99%
Trace(1) 60.86761 65.00828 73.40683
Trace(2) 32.62298 34.90299 39.63868
Trace(3) 15.28244 16.71772 19.42806
Trace(4) 5.31473 6.05207 7.51844
Lambda(1) 31.28388 34.01138 39.34604
Lambda(2) 19.03773 20.84496 23.73179
Lambda(3) 10.96498 12.09196 14.48682
Lambda(4) 5.31473 6.05207 7.51844
p=5
90% 95% 99%
Trace(1) 87.40056 91.92876 101.95271
Trace(2) 52.82391 55.99132 61.84569
Trace(3) 30.02741 31.97336 36.52941
Trace(4) 14.71787 16.04484 18.56501
Trace(5) 5.34238 5.95368 7.34667
Lambda(1) 38.09145 40.76375 46.43124
Lambda(2) 24.77238 26.46526 30.31372
Lambda(3) 16.67602 17.97457 20.88282
Lambda(4) 10.39107 11.27095 13.14231
Lambda(5) 5.34238 5.95368 7.34667
Frequency = 3
p=1
90% 95% 99%
Trace(1) 8.28390 10.24255 14.84384
Lambda(1) 8.28390 10.24255 14.84384
p=2
90% 95% 99%
Trace(1) 28.86054 31.37644 37.36932
Trace(2) 9.88899 11.18976 13.93334
Lambda(1) 20.69795 22.93460 27.55053
Lambda(2) 9.88899 11.18976 13.93334
p=3
90% 95% 99%
Trace(1) 36.17527 39.16091 45.83424
Trace(2) 15.42223 17.40110 20.84344
Trace(3) 5.08110 5.93862 7.57444
Lambda(1) 22.81981 25.11247 30.69502
Lambda(2) 11.46093 12.94809 15.79453
Lambda(3) 5.08110 5.93862 7.57444
p=4
90% 95% 99%
Trace(1) 56.99358 60.81107 68.82700
Trace(2) 29.74769 32.18733 36.55798
Trace(3) 13.92267 15.41405 18.47052
Trace(4) 4.88378 5.58384 7.14520
Lambda(1) 29.85990 32.64265 38.26230
Lambda(2) 17.38801 19.01201 22.25250
Lambda(3) 10.03802 11.05833 13.29069
Lambda(4) 4.88378 5.58384 7.14520
p=5
90% 95% 99%
Trace(1) 82.22446 86.83963 95.58291
Trace(2) 48.94248 51.67646 58.02195
Trace(3) 27.30366 29.28770 33.49248
Trace(4) 13.30747 14.51181 17.00026
Trace(5) 4.86063 5.42727 6.70775
Lambda(1) 36.73675 39.36979 45.39216
Lambda(2) 23.62505 25.50922 29.19686
Lambda(3) 15.19138 16.49246 18.94955
Lambda(4) 9.31392 10.18312 11.79610
Lambda(5) 4.86063 5.42727 6.70775