I am doing a thesis on cointegration between international government bondmarket ideces and have done a multivariate johansen cointegration test for the G-7 countries indeces.
Johansen tests for cointegration
Trend: Constant Number of obs = 1,524
Sample: 1993w7 thru 2022w22 Number of lags = 5
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Critical
Maximum Trace value
rank Params LL Eigenvalue statistic 5%
0 203 43300.758 . 139.1379 124.24
1 216 43321.815 0.02726 97.0239 94.15
2 227 43337.906 0.02090 64.8415* 68.52
3 236 43350.96 0.01699 38.7335 47.21
4 243 43358.987 0.01048 22.6808 29.68
5 248 43364.932 0.00777 10.7913 15.41
6 251 43368.605 0.00481 3.4444 3.76
7 252 43370.327 0.00226
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How would i test for exclusion of one or more of the variables? To check if some of the variables can be excluded from the cointegrating relationship.
Johansen tests for cointegration
Trend: Constant Number of obs = 1,524
Sample: 1993w7 thru 2022w22 Number of lags = 5
--------------------------------------------------------------
Critical
Maximum Trace value
rank Params LL Eigenvalue statistic 5%
0 203 43300.758 . 139.1379 124.24
1 216 43321.815 0.02726 97.0239 94.15
2 227 43337.906 0.02090 64.8415* 68.52
3 236 43350.96 0.01699 38.7335 47.21
4 243 43358.987 0.01048 22.6808 29.68
5 248 43364.932 0.00777 10.7913 15.41
6 251 43368.605 0.00481 3.4444 3.76
7 252 43370.327 0.00226
--------------------------------------------------------------
How would i test for exclusion of one or more of the variables? To check if some of the variables can be excluded from the cointegrating relationship.
