Hello, I'm learning the cointegration test for time series now and I ran this test with the rank function from 'tsDyn' package in Rstudio. Attached here is my results.
I have a problem in understanding the details from the summary(rank_test). I know the second and the third columns are about the trace statistic and the fifth and the sixth columns are about the maximum eigenvalue statistic but how can I understand it. Does it mean that cointegration at the 5% level and which test statistic has superior power in a small samples?
Thanks so much for your help and reply.