The result of the Johansen test is confusing to me. I have two time series and I'd like to test if they are cointegrated. However, in the Johansen test (performed by the function
ca.jo in "urca" package in R), all hypotheses have been rejected as the test statistics are significantly bigger than the critical values.
teststatistic and the critical values of the test:
test 10pct 5pct 1pct r <= 1 | 56.07 6.50 8.18 11.65 r = 0 | 117.13 15.66 17.95 23.52
I wonder what should be the order of cointegration for the two time series then? Since the null hypothesis
r<=1 is rejected,
r seems to take values greater than 1, but the order of cointegration for two time series should be 1 at most.