Hi Everyone.

I am having difficulty with my time series. I have tried changing the number of observations and even variables but I have the same issues.

I am running a time series with 40 observations now. All my variables are non stationary at level and stationary after first difference. I am running two model

To obtain the optimal lag I use AIC and find that the optimal lag for both models is 1.

When I perform cointegration lag
Code:
vecrank depvar X1 X2 X3, lags(1) max
I get results that show trace value larger than critical value, but its ranks 1 to 3 smaller than critical values and maximum value smaller than critical value and its rank 1 to 3 also smaller than critical value. can I conclude that there is no cointegration despite the trace stat value

maximum trace critical
rank parms LL eigenvalue statistic value
0 4 17.779168 . 54.2366 47.21
1 11 30.772563 0.50458 28.2498* 29.68
2 16 40.775979 0.41767 8.2430 15.41
3 19 44.782446 0.19472 0.2300 3.76
4 20 44.897459 0.00620

5%
maximum max critical
rank parms LL eigenvalue statistic value
0 4 17.779168 . 25.9868 27.07
1 11 30.772563 0.50458 20.0068 20.97
2 16 40.775979 0.41767 8.0129 14.07
3 19 44.782446 0.19472 0.2300 3.76
4 20 44.897459 0.00620



Thank you all