At this moment we are doing a cointegration analysis and a doubt has come up about the
nule hypothesis that your programme uses in the Johansen test.We don´t know if the maximum
eigenvalue uses the same nule hypothesis as the trace contrast( as for instance, Eviews
does) , I mean, if both of them contrast the hypothesis that there are, at most,
"r" cointegration vectors or, on the contrary, as we have read in some papers,
this is only done by the trace one, while the maximum eigenvalue contrasts that there are
exactly "r" cointegration vectors.
What we want to know exactly is if in your programme both of them use the same nule
hypothesis ( at most "r" cointegration vectors) or the trace one uses that one,
while the maximum eigenvalue uses the other one ( exactly "r" cointegration
Seeing the results we have got, we think that both of them use the same one cause, if it
isn´t like that, the contrast of the maximum eigenvalue would say it exists 0 and 1
cointegration vectors at the same time.
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