8. Apêndice
8.1 Tabelas dos resultados das Cointegrações de Johansen – Austrália
Tabela 8: Grupo 1 – Austrália
Fonte: Elaboração Própria
Date: 11/30/15 Time: 14:00 Sample (adjusted): 1972Q2 1998Q4
Included observations: 107 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: SER1 SER5
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.202374108 2.660.425.988 2.026.183.964 0.005804217 At most 1 0.02227061 2.409.890.849 9.164.545.912 0.695514752
Trace 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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.202374108 2.419.436.903 1.589.209.863 0.001988091 At most 1 0.02227061 2.409.890.849 9.164.545.912 0.695514752
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
32
Tabela 9: Grupo 2 – Austrália
Fonte: Elaboração Própria
Date: 11/30/15 Time: 14:00 Sample (adjusted): 1972Q2 1998Q4
Included observations: 107 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: SER1 SER7
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.164683477 2.857.455.343 2.026.183.964 0.002832636 At most 1 * 0.0834213 93.204.859 9.164.545.912 0.046703692
Trace 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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.164683477 1.925.406.753 1.589.209.863 0.014240683 At most 1 * 0.0834213 93.204.859 9.164.545.912 0.046703692
Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
33
Tabela 10: Grupo 3 – Austrália
Fonte: Elaboração Própria
Date: 11/30/15 Time: 14:05 Sample (adjusted): 1972Q2 1998Q4
Included observations: 107 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: SER1 SER2 SER4
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.241715081 4.203.862.625 3.519.275.463 0.007845664 At most 1 0.08142369 1.243.214.547 2.026.183.964 0.410870305 At most 2 0.030774499 3.344.603.774 9.164.545.912 0.518352667
Trace 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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.241715081 2.960.648.078 2.229.962.298 0.003994617 At most 1 0.08142369 90.875.417 1.589.209.863 0.424501601 At most 2 0.030774499 3.344.603.774 9.164.545.912 0.518352667
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
34
Tabela 11: Grupo 4 – Austrália
Fonte: Elaboração Própria
Date: 11/30/15 Time: 14:05 Sample (adjusted): 1972Q2 1998Q4
Included observations: 107 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: SER1 SER2 SER12
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.189814501 4.905.518.812 3.519.275.463 0.000913146 At most 1 * 0.158803122 2.653.253.921 2.026.183.964 0.00595635 At most 2 0.072291869 8.029.077.778 9.164.545.912 0.081794736
Trace 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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.189814501 2.252.264.891 2.229.962.298 0.046544881 At most 1 * 0.158803122 1.850.346.143 1.589.209.863 0.01902022 At most 2 0.072291869 8.029.077.778 9.164.545.912 0.081794736
Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
35
Tabela 12: Grupo 5 – Austrália
Fonte: Elaboração Própria
Date: 11/30/15 Time: 14:05 Sample (adjusted): 1972Q2 1998Q4
Included observations: 107 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: SER1 SER3 SER9
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.245772514 4.015.982.968 3.519.275.463 0.013417751 At most 1 0.074951623 9.979.275.854 2.026.183.964 0.641880554 At most 2 0.01523773 1.642.986.821 9.164.545.912 0.847133213
Trace 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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.245772514 3.018.055.382 2.229.962.298 0.003227399 At most 1 0.074951623 8.336.289.033 1.589.209.863 0.508093685 At most 2 0.01523773 1.642.986.821 9.164.545.912 0.847133213
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
36
Tabela 13: Grupo 6 – Austrália
Fonte: Elaboração Própria
Date: 11/30/15 Time: 14:05 Sample (adjusted): 1972Q2 1998Q4
Included observations: 107 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: SER1 SER3 SER13
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.218209675 4.258.139.135 3.519.275.463 0.006700934 At most 1 0.129733221 1.624.134.038 2.026.183.964 0.163409754 At most 2 0.012750767 1.373.104.847 9.164.545.912 0.895513208
Trace 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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.218209675 2.634.005.097 2.229.962.298 0.012898039 At most 1 0.129733221 1.486.823.554 1.589.209.863 0.071851665 At most 2 0.012750767 1.373.104.847 9.164.545.912 0.895513208
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
37
Tabela 14: Grupo 7 – Austrália
Fonte: Elaboração Própria
Date: 11/30/15 Time: 14:05 Sample (adjusted): 1972Q2 1998Q4
Included observations: 107 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: SER1 SER10 SER12
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.186086825 4.231.270.729 3.519.275.463 0.007248306 At most 1 * 0.112605136 2.028.123.784 2.026.183.964 0.049689545 At most 2 0.067679884 7.498.458.511 9.164.545.912 0.102494679
Trace 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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.186086825 2.203.146.945 2.229.962.298 0.054461822 At most 1 0.112605136 1.278.277.933 1.589.209.863 0.144998743 At most 2 0.067679884 7.498.458.511 9.164.545.912 0.102494679
Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
38
Tabela 15: Grupo 8 – Austrália
Fonte: Elaboração Própria
Date: 11/30/15 Time: 14:10 Sample (adjusted): 1972Q2 1998Q4
Included observations: 107 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: SER1 SER2 SER9 SER10
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.228915561 6.201.266.768 5.407.903.636 0.008338023 At most 1 0.172358211 3.419.722.663 3.519.275.463 0.063759727 At most 2 0.074926948 1.395.551.871 2.026.183.964 0.292466876 At most 3 0.051186326 5.622.083.752 9.164.545.912 0.221995046
Trace 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
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.228915561 2.781.544.105 2.858.808.006 0.062496752 At most 1 0.172358211 2.024.170.792 2.229.962.298 0.094454382 At most 2 0.074926948 8.333.434.956 1.589.209.863 0.508424661 At most 3 0.051186326 5.622.083.752 9.164.545.912 0.221995046
Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level
39