H0: rank(Π)rr a maximum of r groups of co-integration vectors,
H1: rank (Π)4r. Where Π denoted the number of groups of
independent vector–matrices, namely, the number of Eigen values
that were different from 0; T represented the number of samples; r
was the number of co-integrated vectors groups; ^
λi denoted the
estimated value of the ith Eigen value, and n represented the
resultant number of Eigen values that obeyed the χ2 distribution
and were under examination.
Method 2: The maximum Eigen value test:
The test statistic was:
λtranceðr;rþ1Þ¼T ∑
n
i ¼ r þ1
lnð1^
λiþ1Þ ð6Þ
Ho: rank(Π)¼r and there were r groups of co-integration vectors,
H1: rank (Π)¼rþ1. Where T denoted the sample number; r
represented the number of groups of co-integrated vectors and
^
λi was the estimated value of the ith Eigen value that obeyed the
chi-square distribution and that were under examination.