Table 4 Johansen Fisher panel...

Table 4

Johansen Fisher panel cointegration

Unrestricted cointegration rank test (trace and maximum eigenvalue)
Hypothesized no. of CE(s)	Fisher stat* (trace test)	Prob	Fisher stat* (max-eigen test)	Prob
Pre-GFC
None	177.1	0.0000**	679.7	0.0000**
At most 1	380.0	0.0000**	204.7	0.0000**
At most 2	362.6	0.0000**	258.2	0.0000**
At most 3	224.9	0.0000**	126.7	0.0000**
At most 4	127.0	0.0000**	68.73	0.0000**
At most 5	80.31	0.0000**	60.21	0.0000**
At most 6	52.55	0.0000**	52.55	0.0000**
Post-GFC
None	151.7	0.0000**	70.96	0.0000**
At most 1	91.02	0.0000**	28.38	0.0285**
At most 2	69.73	0.0000**	34.41	0.0048**
At most 3	46.86	0.0001**	19.23	0.2569
At most 4	39.09	0.0011**	22.35	0.1322
At most 5	31.82	0.0105**	26.72	0.0447**
At most 6	23.70	0.0963	23.70	0.0963
Full sample
None	198.1	0.0000**	61.35	0.0000**
At most 1	134.0	0.0000**	43.09	0.0003**
At most 2	92.20	0.0000**	27.10	0.0404**
At most 3	69.79	0.0000**	25.68	0.0587**
At most 4	50.55	0.0000**	19.73	0.2325
At most 5	40.29	0.0007**	21.57	0.1576
At most 6	32.94	0.0075**	20.79	0.1868
At most 7	42.09	0.0004**	42.09	0.0004**

Unrestricted cointegration rank test (trace and maximum eigenvalue)
Hypothesized no. of CE(s)	Fisher stat* (trace test)	Prob	Fisher stat* (max-eigen test)	Prob
Pre-GFC
None	177.1	0.0000**	679.7	0.0000**
At most 1	380.0	0.0000**	204.7	0.0000**
At most 2	362.6	0.0000**	258.2	0.0000**
At most 3	224.9	0.0000**	126.7	0.0000**
At most 4	127.0	0.0000**	68.73	0.0000**
At most 5	80.31	0.0000**	60.21	0.0000**
At most 6	52.55	0.0000**	52.55	0.0000**
Post-GFC
None	151.7	0.0000**	70.96	0.0000**
At most 1	91.02	0.0000**	28.38	0.0285**
At most 2	69.73	0.0000**	34.41	0.0048**
At most 3	46.86	0.0001**	19.23	0.2569
At most 4	39.09	0.0011**	22.35	0.1322
At most 5	31.82	0.0105**	26.72	0.0447**
At most 6	23.70	0.0963	23.70	0.0963
Full sample
None	198.1	0.0000**	61.35	0.0000**
At most 1	134.0	0.0000**	43.09	0.0003**
At most 2	92.20	0.0000**	27.10	0.0404**
At most 3	69.79	0.0000**	25.68	0.0587**
At most 4	50.55	0.0000**	19.73	0.2325
At most 5	40.29	0.0007**	21.57	0.1576
At most 6	32.94	0.0075**	20.79	0.1868
At most 7	42.09	0.0004**	42.09	0.0004**

Note(s): The table reports Johansen–Fisher panel cointegration results (Trace and Max–Eigen statistics with Fisher values and p-values) for pre-, post-GFC and full samples, showing multiple significant cointegrating relationships at the 5% level**

Source(s): Authors’ own calculations

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