99 MacKinnon-Haug-Michelis 1999 p-values
Unrestricted Cointegration Rank Test Maximum Eigenvalue Hypothesized
Max-Eigen 0.05
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.463296 18.04697
22.29962 0.1769
At most 1 0.326932
11.48137 15.89210
0.2182 At most 2
0.113573 3.496143
9.164546 0.4923
Max-eigenvalue test indicates no cointegration 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 bS11b=I: BD_Y
CA_Y ER_Y
C -6.532868
-19.35292 -83.17102
5.489666 12.14192
26.38000 215.7584
-7.210312 23.00538
-18.60512 -98.39746
2.507196 Unrestricted Adjustment Coefficients alpha:
DBD_Y -0.005543
-0.014757 -0.009862
DCA_Y 0.013188
-0.018934 0.001914
DER_Y -0.000847
-0.000318 0.000308
1 Cointegrating Equations: Log likelihood
261.0485 Normalized cointegrating coefficients standard error in parentheses
BD_Y CA_Y
ER_Y C
1.000000 2.962393
12.73116 -0.840315
1.27162 8.22309
0.29924 Adjustment coefficients standard error in parentheses
DBD_Y 0.036209
0.05157 DCA_Y
-0.086158 0.04765
DER_Y 0.005535
0.00184 2 Cointegrating Equations:
Log likelihood 266.7892
Normalized cointegrating coefficients standard error in parentheses BD_Y
CA_Y ER_Y
C 1.000000
0.000000 31.63085
0.084233 11.4970
0.22646 0.000000
1.000000 -6.379870
-0.312095 4.65576
0.09171 Adjustment coefficients standard error in parentheses
DBD_Y -0.142969
-0.282024 0.10095
0.23955 DCA_Y
-0.316053 -0.754713
0.08596 0.20398
DER_Y 0.001669
0.007997 0.00378
0.00896
c. Indonesia
100 Date: 061911 Time: 16:36
Sample adjusted: 1982 2010 Included observations: 29 after adjustments
Trend assumption: No deterministic trend restricted constant Series: BD_Y CA_Y ER_Y
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.746671
58.96178 35.19275
0.0000 At most 1
0.436894 19.14291
20.26184 0.0707
At most 2 0.082234
2.488586 9.164546
0.6798 Trace test indicates 1 cointegrating eqns 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 CEs Eigenvalue
Statistic Critical Value
Prob. None
0.746671 39.81887
22.29962 0.0001
At most 1 0.436894
16.65432 15.89210
0.0379 At most 2
0.082234 2.488586
9.164546 0.6798
Max-eigenvalue test indicates 2 cointegrating eqns 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 bS11b=I: BD_Y
CA_Y ER_Y
C 175.3575
165.4515 -623.4496
1.004641 216.1316
-78.18834 2356.477
-3.623814 55.57768
-16.26187 -145.2400
1.246260 Unrestricted Adjustment Coefficients alpha:
DBD_Y -0.000857
-0.002603 -0.002282
DCA_Y -0.007443
0.004804 0.000832
DER_Y -4.93E-05
-0.000153 0.000129
1 Cointegrating Equations: Log likelihood
392.1621 Normalized cointegrating coefficients standard error in parentheses
BD_Y CA_Y
ER_Y C
1.000000 0.943510
-3.555306 0.005729
0.11995 1.35043
0.00231 Adjustment coefficients standard error in parentheses
DBD_Y -0.150232
0.31190 DCA_Y
-1.305205 0.31373
DER_Y -0.008638
0.01777 2 Cointegrating Equations:
Log likelihood 400.4893
Normalized cointegrating coefficients standard error in parentheses BD_Y
CA_Y ER_Y
C 1.000000
0.000000 6.895791
-0.010532 0.65837
0.00161
101 0.000000
1.000000 -11.07683
0.017235 0.80235
0.00196 Adjustment coefficients standard error in parentheses
DBD_Y -0.712882
0.061800 0.47335
0.31123 DCA_Y
-0.267011 -1.607053
0.42007 0.27619
DER_Y -0.041802
0.003847 0.02689
0.01768
d. Malaysia