
level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized
Max-Eigen
0.05
No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.509583
61.27492
52.36261
0.0048
At most 1
0.365502
39.12326
46.23142
0.2354
At most 2
0.337285
35.38123
40.07757
0.1539
At most 3
0.288819
29.31124
33.87687
0.1593
At most 4
0.219193
21.27870
27.58434
0.2597
At most 5
0.158470
14.83793
21.13162
0.3004
At most 6
0.078474
7.028284
14.26460
0.4858
At most 7
0.000258
0.022233
3.841466
0.8814
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
مدل بازده داراییها و تورم- وقفهی سه الگوی چهارم
Sample (adjusted): 1371Q2 1392Q3
Included observations: 86 after adjustments
Trend assumption: Linear deterministic trend (restricted)
Series: LTEPIX LCPI LHP LCOIN LEX LGDP LM LOIL
Exogenous series: D72 D91
Warning: Critical values assume no exogenous series
Lags interval (in first differences): 1 to 3
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
Trace
0.05
No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.613431
258.9201
187.4701
0.0000
At most 1 *
0.395627
177.1819
150.5585
0.0007
At most 2 *
0.345814
133.8755
117.7082
0.0032
At most 3 *
0.310550
97.38028
88.80380
0.0104
At most 4 *
0.259294
65.40017
63.87610
0.0370
At most 5
0.217785
39.58709
42.91525
0.1035
At most 6
0.153767
18.46328
25.87211
0.3136
At most 7
0.046608
4.104660
12.51798
0.7269
Trace test indicates 5 cointegrating eqn(s) 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 CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.613431
81.73816
56.70519
0.0000
At most 1
0.395627
43.30643
50.59985
0.2337
At most 2
0.345814
36.49524
44.49720
0.2832
At most 3
0.310550
31.98011
38.33101
0.2236
At most 4
0.259294
25.81308
32.11832
0.2415
At most 5
0.217785
21.12381
25.82321
0.1850
At most 6
0.153767
14.35862
19.38704
0.2310
At most 7
0.046608
4.104660
12.51798
0.7269
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
مدل بازده داراییها و تورم انتظاری- وقفهی سه و الگوی دوم
Sample (adjusted): 1372Q2 1392Q3
Included observations: 82 after adjustments
Trend assumption: No deterministic trend (restricted constant)
Series: LTEPIX LCPIF LHP LCOIN LEX LGDP LM LOIL
Lags interval (in first differences): 1 to 3
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
Trace
0.05
No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.628660
248.6748
169.5991
0.0000
At most 1 *
0.398887
167.4426
134.6780
0.0001
At most 2 *
0.380485
125.7068
103.8473
0.0008
At most 3 *
0.301777
86.44367
76.97277
0.0079
At most 4 *
0.259891
56.98787
54.07904
0.0269
At most 5
0.207461
32.30935
35.19275
0.0991
At most 6
0.100194
13.24326
20.26184
0.3447
At most 7
0.054392
4.586049
9.164546
0.3319
Trace test indicates 5 cointegrating eqn(s) 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 CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.628660
81.23226
53.18784
0.0000
At most 1
0.398887
41.73576
47.07897
0.1667
At most 2
0.380485
39.26312
40.95680
0.0767
At most 3
0.301777
29.45580
34.80587
0.1895
At most 4
0.259891
24.67852
28.58808
0.1459
At most 5
0.207461
19.06609
22.29962
0.1332
At most 6
0.100194
8.657212
15.89210
0.4714
At most 7
0.054392
4.586049
9.164546
0.3319
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
مدل بازده داراییها و تورم انتظاری- وقفهی سه و الگوی سوم
Sample (adjusted): 1372Q2 1392Q3
Included observations: 82 after adjustments
Trend assumption: Linear deterministic trend
Series: LTEPIX LCPIF LHP LCOIN LEX LGDP LM LOIL
Lags interval (in first differences): 1 to 3
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
Trace
0.05
No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.626826
227.6461
159.5297
0.0000
At most 1 *
0.386522
146.8179
125.6154
0.0013
At most 2 *
0.366786
106.7519
95.75366
0.0071
At most 3
0.278202
69.28218
69.81889
0.0551
At most 4
0.208995
42.54935
47.85613
0.1439
At most 5
0.181262
23.32435
29.79707
0.2305
At most 6
0.076705
6.925057
15.49471
0.5864
At most 7
0.004635
0.380961
3.841466
0.5371
Trace test indicates 3 cointegrating eqn(s) 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 CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.626826
80.82821
52.36261
0.0000
At most 1
0.386522
40.06605
46.23142
0.1968
At most 2
0.366786
37.46969
40.07757
0.0956
At most 3
0.278202
26.73283
33.87687
0.2779
At most 4
0.208995
19.22500
27.58434
0.3973
At most 5
0.181262
16.39930
21.13162
0.2024
At most 6
0.076705
6.544095
14.26460
0.5444
At most 7
0.004635
0.380961
3.841466
0.5371
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
مدل بازده داراییها و تورم انتظاری- وقفهی سه و الگوی چهارم
Date: 09/30/14 Time: 23:24
Sample (adjusted): 1372Q2 1392Q3
Included observations: 82 after adjustments
Trend assumption: Linear deterministic trend (restricted)
Series: LTEPIX LCPIF LHP LCOIN LEX LGDP LM LOIL
Lags interval (in first differences): 1 to 3
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
Trace
0.05
No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.645271
271.4823
187.4701
0.0000
At most 1 *
0.473557
186.4974
150.5585
0.0001
At most 2 *
0.385461
133.8852
117.7082
0.0032
At most 3 *
0.339857
93.96082
88.80380
0.0201
At most 4
0.242026
59.90632
63.87610
0.1031
At most 5
0.186895
37.18366
42.91525
0.1663
At most 6
0.174029
20.21830
25.87211
0.2151
At most 7
0.053864
4.540295
12.51798
0.6632
Trace test indicates 4 cointegrating eqn(s) 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 CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.645271
84.98488
56.70519
0.0000
At most 1 *
0.473557
52.61219
50.59985
0.0305
At most 2
0.385461
39.92439
44.49720
0.1446
At most 3
0.339857
34.05449
38.33101
0.1430
At most 4
0.242026
22.72266
32.11832
0.4385
At most 5
0.186895
16.96536
25.82321
0.4607
At most 6
0.174029
15.67801
19.38704
0.1596
At most 7
0.053864
4.540295
12.51798
0.6632
Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
پیوست10: برآورد بردار همانباشتگی بلندمدت با استفاده از روشVECM- بردار بازده سهام و تورم
الگوی VECM بازده مسکن و تورم
