Suppose that a researcher has a set of three variables, ytt=1, , T, that is yt denotes a p-variate or p1 vector, that she wishes to test for the existence of cointegrating relationships using the Johansen procedure. Discuss the implication of finding the rank of the appropriate matrix takes on a value of : (i) 0 ; and (ii) 1 (4 Marks)

Suppose that you obtain the results for the Johansen test using the variables outlined in part (a) as follows:

rank	max	5% critical value
0	38.65	30.26
1	26.91	23.84
2	10.67	17.72
3	8.55	10.71

Determine the number of cointegrating vectors, explaining your answer