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1 Normal Distribution 1
2 Student-t Distribution 2
3 Chi-Squared Distribution 3
.4
.3
.2
y
F(z)
.1
0
z
-4 -2 0 2 4
Pr( Z ≤ z ) = F ( z )
z F(z) z F(z) z F(z) z F(z) z F(z) z F(z) z F(z)
0.00 0.500 0.50 0.691 1.00 0.841 1.50 0.933 2.00 0.977 2.50 0.994 3.00 0.999
0.01 0.504 0.51 0.695 1.01 0.844 1.51 0.934 2.01 0.978 2.51 0.994 3.01 0.999
0.02 0.508 0.52 0.698 1.02 0.846 1.52 0.936 2.02 0.978 2.52 0.994 3.02 0.999
0.03 0.512 0.53 0.702 1.03 0.848 1.53 0.937 2.03 0.979 2.53 0.994 3.03 0.999
0.04 0.516 0.54 0.705 1.04 0.851 1.54 0.938 2.04 0.979 2.54 0.994 3.04 0.999
0.05 0.520 0.55 0.709 1.05 0.853 1.55 0.939 2.05 0.980 2.55 0.995 3.05 0.999
0.06 0.524 0.56 0.712 1.06 0.855 1.56 0.941 2.06 0.980 2.56 0.995 3.06 0.999
0.07 0.528 0.57 0.716 1.07 0.858 1.57 0.942 2.07 0.981 2.57 0.995 3.07 0.999
0.08 0.532 0.58 0.719 1.08 0.860 1.58 0.943 2.08 0.981 2.58 0.995 3.08 0.999
0.09 0.536 0.59 0.722 1.09 0.862 1.59 0.944 2.09 0.982 2.59 0.995 3.09 0.999
0.10 0.540 0.60 0.726 1.10 0.864 1.60 0.945 2.10 0.982 2.60 0.995 3.10 0.999
0.11 0.544 0.61 0.729 1.11 0.867 1.61 0.946 2.11 0.983 2.61 0.995 3.11 0.999
0.12 0.548 0.62 0.732 1.12 0.869 1.62 0.947 2.12 0.983 2.62 0.996 3.12 0.999
0.13 0.552 0.63 0.736 1.13 0.871 1.63 0.948 2.13 0.983 2.63 0.996 3.13 0.999
0.14 0.556 0.64 0.739 1.14 0.873 1.64 0.949 2.14 0.984 2.64 0.996 3.14 0.999
0.15 0.560 0.65 0.742 1.15 0.875 1.65 0.951 2.15 0.984 2.65 0.996 3.15 0.999
0.16 0.564 0.66 0.745 1.16 0.877 1.66 0.952 2.16 0.985 2.66 0.996 3.16 0.999
0.17 0.567 0.67 0.749 1.17 0.879 1.67 0.953 2.17 0.985 2.67 0.996 3.17 0.999
0.18 0.571 0.68 0.752 1.18 0.881 1.68 0.954 2.18 0.985 2.68 0.996 3.18 0.999
0.19 0.575 0.69 0.755 1.19 0.883 1.69 0.954 2.19 0.986 2.69 0.996 3.19 0.999
0.20 0.579 0.70 0.758 1.20 0.885 1.70 0.955 2.20 0.986 2.70 0.997 3.20 0.999
0.21 0.583 0.71 0.761 1.21 0.887 1.71 0.956 2.21 0.986 2.71 0.997 3.21 0.999
0.22 0.587 0.72 0.764 1.22 0.889 1.72 0.957 2.22 0.987 2.72 0.997 3.22 0.999
0.23 0.591 0.73 0.767 1.23 0.891 1.73 0.958 2.23 0.987 2.73 0.997 3.23 0.999
0.24 0.595 0.74 0.770 1.24 0.893 1.74 0.959 2.24 0.987 2.74 0.997 3.24 0.999
0.25 0.599 0.75 0.773 1.25 0.894 1.75 0.960 2.25 0.988 2.75 0.997 3.25 0.999
0.26 0.603 0.76 0.776 1.26 0.896 1.76 0.961 2.26 0.988 2.76 0.997 3.26 0.999
0.27 0.606 0.77 0.779 1.27 0.898 1.77 0.962 2.27 0.988 2.77 0.997 3.27 0.999
0.28 0.610 0.78 0.782 1.28 0.900 1.78 0.962 2.28 0.989 2.78 0.997 3.28 0.999
0.29 0.614 0.79 0.785 1.29 0.901 1.79 0.963 2.29 0.989 2.79 0.997 3.29 0.999
0.30 0.618 0.80 0.788 1.30 0.903 1.80 0.964 2.30 0.989 2.80 0.997 3.30 1.000
0.31 0.622 0.81 0.791 1.31 0.905 1.81 0.965 2.31 0.990 2.81 0.998 3.31 1.000
0.32 0.626 0.82 0.794 1.32 0.907 1.82 0.966 2.32 0.990 2.82 0.998 3.32 1.000
0.33 0.629 0.83 0.797 1.33 0.908 1.83 0.966 2.33 0.990 2.83 0.998 3.33 1.000
0.34 0.633 0.84 0.800 1.34 0.910 1.84 0.967 2.34 0.990 2.84 0.998 3.34 1.000
0.35 0.637 0.85 0.802 1.35 0.911 1.85 0.968 2.35 0.991 2.85 0.998 3.35 1.000
0.36 0.641 0.86 0.805 1.36 0.913 1.86 0.969 2.36 0.991 2.86 0.998 3.36 1.000
0.37 0.644 0.87 0.808 1.37 0.915 1.87 0.969 2.37 0.991 2.87 0.998 3.37 1.000
0.38 0.648 0.88 0.811 1.38 0.916 1.88 0.970 2.38 0.991 2.88 0.998 3.38 1.000
0.39 0.652 0.89 0.813 1.39 0.918 1.89 0.971 2.39 0.992 2.89 0.998 3.39 1.000
0.40 0.655 0.90 0.816 1.40 0.919 1.90 0.971 2.40 0.992 2.90 0.998 3.40 1.000
0.41 0.659 0.91 0.819 1.41 0.921 1.91 0.972 2.41 0.992 2.91 0.998 3.41 1.000
0.42 0.663 0.92 0.821 1.42 0.922 1.92 0.973 2.42 0.992 2.92 0.998 3.42 1.000
0.43 0.666 0.93 0.824 1.43 0.924 1.93 0.973 2.43 0.992 2.93 0.998 3.43 1.000
0.44 0.670 0.94 0.826 1.44 0.925 1.94 0.974 2.44 0.993 2.94 0.998 3.44 1.000
0.45 0.674 0.95 0.829 1.45 0.926 1.95 0.974 2.45 0.993 2.95 0.998 3.45 1.000
0.46 0.677 0.96 0.831 1.46 0.928 1.96 0.975 2.46 0.993 2.96 0.998 3.46 1.000
0.47 0.681 0.97 0.834 1.47 0.929 1.97 0.976 2.47 0.993 2.97 0.999 3.47 1.000
0.48 0.684 0.98 0.836 1.48 0.931 1.98 0.976 2.48 0.993 2.98 0.999 3.48 1.000
0.49 0.688 0.99 0.839 1.49 0.932 1.99 0.977 2.49 0.994 2.99 0.999 3.49 1.000
2
.4
.3
.2
y
.1
1-α
α
0
t(ν,α)
-4 -2 0 2 4
.1 .2
.15
y
.05
1-α
0 α
2
0 5 χ ν 10 15 20
Pr( X ≥ χ 2ν,α )
α
ν 0.995 0.99 0.975 0.95 0.9 0.1 0.05 0.025 0.01 0.005
1 0.00 0.00 0.00 0.00 0.02 2.71 3.84 5.02 6.63 7.88
2 0.01 0.02 0.05 0.10 0.21 4.61 5.99 7.38 9.21 10.60
3 0.07 0.11 0.22 0.35 0.58 6.25 7.81 9.35 11.34 12.84
4 0.21 0.30 0.48 0.71 1.06 7.78 9.49 11.14 13.28 14.86
5 0.41 0.55 0.83 1.15 1.61 9.24 11.07 12.83 15.09 16.75
6 0.68 0.87 1.24 1.64 2.20 10.64 12.59 14.45 16.81 18.55
7 0.99 1.24 1.69 2.17 2.83 12.02 14.07 16.01 18.48 20.28
8 1.34 1.65 2.18 2.73 3.49 13.36 15.51 17.53 20.09 21.95
9 1.73 2.09 2.70 3.33 4.17 14.68 16.92 19.02 21.67 23.59
10 2.16 2.56 3.25 3.94 4.87 15.99 18.31 20.48 23.21 25.19
11 2.60 3.05 3.82 4.57 5.58 17.28 19.68 21.92 24.72 26.76
12 3.07 3.57 4.40 5.23 6.30 18.55 21.03 23.34 26.22 28.30
13 3.57 4.11 5.01 5.89 7.04 19.81 22.36 24.74 27.69 29.82
14 4.07 4.66 5.63 6.57 7.79 21.06 23.68 26.12 29.14 31.32
15 4.60 5.23 6.26 7.26 8.55 22.31 25.00 27.49 30.58 32.80
16 5.14 5.81 6.91 7.96 9.31 23.54 26.30 28.85 32.00 34.27
17 5.70 6.41 7.56 8.67 10.09 24.77 27.59 30.19 33.41 35.72
18 6.26 7.01 8.23 9.39 10.86 25.99 28.87 31.53 34.81 37.16
19 6.84 7.63 8.91 10.12 11.65 27.20 30.14 32.85 36.19 38.58
20 7.43 8.26 9.59 10.85 12.44 28.41 31.41 34.17 37.57 40.00
21 8.03 8.90 10.28 11.59 13.24 29.62 32.67 35.48 38.93 41.40
22 8.64 9.54 10.98 12.34 14.04 30.81 33.92 36.78 40.29 42.80
23 9.26 10.20 11.69 13.09 14.85 32.01 35.17 38.08 41.64 44.18
24 9.89 10.86 12.40 13.85 15.66 33.20 36.42 39.36 42.98 45.56
25 10.52 11.52 13.12 14.61 16.47 34.38 37.65 40.65 44.31 46.93
26 11.16 12.20 13.84 15.38 17.29 35.56 38.89 41.92 45.64 48.29
27 11.81 12.88 14.57 16.15 18.11 36.74 40.11 43.19 46.96 49.64
28 12.46 13.56 15.31 16.93 18.94 37.92 41.34 44.46 48.28 50.99
29 13.12 14.26 16.05 17.71 19.77 39.09 42.56 45.72 49.59 52.34
30 13.79 14.95 16.79 18.49 20.60 40.26 43.77 46.98 50.89 53.67
31 14.46 15.66 17.54 19.28 21.43 41.42 44.99 48.23 52.19 55.00
32 15.13 16.36 18.29 20.07 22.27 42.58 46.19 49.48 53.49 56.33
33 15.82 17.07 19.05 20.87 23.11 43.75 47.40 50.73 54.78 57.65
34 16.50 17.79 19.81 21.66 23.95 44.90 48.60 51.97 56.06 58.96
35 17.19 18.51 20.57 22.47 24.80 46.06 49.80 53.20 57.34 60.27
40 20.71 22.16 24.43 26.51 29.05 51.81 55.76 59.34 63.69 66.77
45 24.31 25.90 28.37 30.61 33.35 57.51 61.66 65.41 69.96 73.17
50 27.99 29.71 32.36 34.76 37.69 63.17 67.50 71.42 76.15 79.49
60 35.53 37.48 40.48 43.19 46.46 74.40 79.08 83.30 88.38 91.95
70 43.28 45.44 48.76 51.74 55.33 85.53 90.53 95.02 100.43 104.21
80 51.17 53.54 57.15 60.39 64.28 96.58 101.88 106.63 112.33 116.32
90 59.20 61.75 65.65 69.13 73.29 107.57 113.15 118.14 124.12 128.30
100 67.33 70.06 74.22 77.93 82.36 118.50 124.34 129.56 135.81 140.17
4
Table 4: F-distribution ( α = 0. 01)
.8
.6
.4
y
α
.2
1-α
0
0 2 Fν1,ν2 4 6
.8
.6
.4
y
α
.2
1-α
0
0 2 Fν1,ν2 4 6
.4.8
.6
y
α
.2
1-α
0
0 2 Fν1,ν2 4 6
.8
.6
.4
y
α
.2
1-α
0
0 1 2 Fν1,ν2 3 4 5
.8
.6
.4
y
α
.2
1-α
0
0 1 2 Fν1,ν2 3 4 5
.8
.6
.4
y
α
.2
1-α
0
0 1 2 Fν1,ν2 3 4 5
.8
.6
.4
y
α
.2
1-α
0
0 1 2Fν1,ν2 3 4 5
.8
.6
.4
y
α
.2
1-α
0
0 1 2Fν1,ν2 3 4 5
.8
.6
.4
y
α
.2
1-α
0
0 1 2Fν1,ν2 3 4 5
C ( p ) = φ ∞ + φ1T −1 + φ 2 T −2
Source: James MacKinnon (1991) "Critical Values for Cointegration Tests", in Engle, R. and Granger, C.
Long-Run Economic Relationships, Oxford University Press.
Reproduced by permission of Oxford University Press.
34
Table 11: Johansen Critical Values
Critical Values for Johansen Test :Intercept in Cointegrating Vector
λ − max Trace
p-r 50% 80% 90% 95% 97.5% 99% 50% 80% 90% 95% 97.5% 99%
1 3.40 5.91 7.52 9.24 10.80 12.97 3.40 5.91 7.52 9.24 10.80 12.97
2 8.27 11.54 13.75 15.67 17.63 20.20 11.25 15.25 17.85 19.96 22.05 24.60
3 13.47 17.40 19.77 22.00 24.07 26.81 23.28 28.75 32.00 34.91 37.61 41.07
4 18.70 22.95 25.56 28.14 30.32 33.24 38.84 45.65 49.65 53.12 56.06 60.16
5 23.78 28.76 31.66 34.40 36.90 39.79 58.46 66.91 71.86 76.07 80.06 84.45
6 29.08 34.25 37.45 40.30 43.22 46.82 81.90 91.57 97.18 102.14 106.74 111.01
7 34.73 40.13 43.25 46.45 48.99 51.91 109.17 120.35 125.58 131.70 136.49 143.09
8 39.70 45.53 48.91 52.00 54.71 57.95 139.83 152.56 159.48 165.58 171.28 177.20
9 44.97 50.73 54.35 57.42 60.50 63.71 174.88 198.08 196.37 202.92 208.81 215.74
10 50.21 56.52 60.25 63.57 66.24 69.94 212.93 228.08 236.54 244.15 251.30 257.68
11 55.70 62.38 66.02 69.74 72.64 76.63 254.84 272.82 282.45 291.40 298.31 307.64
Source: Osterwald-Lenum, M. (1992) "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood
Cointegration Rank Test Statistics, Oxford Bulletin of Economics and Statistics, 53,461-471.
Reproduced by permission of Blackwell Publishers.