If a Johansen "max" test for a null hypothesis of 1 cointegrating vectors is applied to a system containing 4 variables is conducted, which eigenvalues would be used in the test?
A) The largest 1
B) The Second largest
C) The Second smallest
D) The smallest

Question

Quizplus · Accepted Answer

The Johansen "max" test for a null hypothesis of 1 cointegrating vector uses the second largest eigenvalue to test against the alternative hypothesis of 2 cointegrating vectors.

If a Johansen "Max" Test for a Null Hypothesis of 1