The boolean decisions of the Johansen test on certain time series pairs.

Abstract

<p>When doing the test, we let the scalars of nominal significance levels be 0.05, choose the lagged difference in {1, …, 3} by AIC, and assume that there are intercepts and linear trends in the cointegrating relations and there are quadratic trends in the data. The values equal to 1 indicate cointegration, and 0 indicate not.</p><p>The boolean decisions of the Johansen test on certain time series pairs.</p