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Annex II. Johansen Cointegration Test Results
Mexico. Quarterly frequency. 1993-2014
GDP/ipi
GDP
1*
1 to 2
a
0.4661
56.4713
15.4947
0.0001
M1
2*
1 to 2
a
0.0515
4.3872
3.8415
0.0362
GDP/ipi
GDP
1*
1 to 2
a
0.3278
37.6905
15.4947
0.0000
M2
2*
1 to 2
a
0.0553
4.7257
3.8415
0.0297
Notes:
* denotes rejection of the hypothesis at the 0.05 level
** MacKinnon-Haug-Michelis (1999) p-values;
a stnads for a linear deterministic trend in data;
The number of observations is 83.
Note: in both cases, a linear deterministic trend is being assumed.
Source: Own estimates.
Trace test
indicates 2
cointegrating
eqn(s) at the 0.05
level
Trace test
indicates 2
cointegrating
eqn(s) at the 0.05
level
Ho.: number of
cointegrating
equation(s)
Time series
Results
Trace
statistic
Prob.**
0.05 Critical
Value
Lags interval
(in first
differences)
Rest option Eigenvalue