Rank
Eigenvalue trace p-value
l-max p-value
0
0.11637 13.736
0.3151 11.01 0.2600
1
0.030163 2.7258
0.6392 2.7258 0.6380
Then I question to my self: if two
hypothesis are accepted, why we must conclude that there aren't any
cointegration relationships??? To conclude that I think we have to interpretate
sequently, that is, starting with the less rank, the first rank we accept
it will be the rank of cointegration, won´t it? In this case rank zero, doesn´t
it?
If the null hypothesis in L-max were that
there are exactly "r0" ( and no r<=r0 as the trace test)) cointegration
vectors, it would impossible the interpretation, because the rank
would be, at the same time, zero and one. In a lot of articles there is that
distintion between both tests.
I continue thinking that this
isn't very clear in Gretl
Cheerssssss and thanksss
Javi