Results of Johansen’s co-integration
| Metal | Test | H0 | Test statistic | Critical value (0.05) | “p”-value |
|---|---|---|---|---|---|
| Copper | Trace | R = 0 | 292.917 | 15.494 | 0.000* |
| R = 1 | 3.617 | 3.841 | 0.057 | ||
| Maximum eigenvalue | R = 0 | 289.300 | 14.264 | 0.000* | |
| R = 1 | 3.617 | 3.841 | 0.057 |
| Metal | Test | H0 | Test statistic | Critical value (0.05) | “ |
|---|---|---|---|---|---|
| Copper | Trace | 292.917 | 15.494 | 0.000* | |
| 3.617 | 3.841 | 0.057 | |||
| Maximum eigenvalue | 289.300 | 14.264 | 0.000* | ||
| 3.617 | 3.841 | 0.057 |
Note(s): “R” refers to the number of cointegrating vectors under the null hypothesis
*Indicates that the null hypothesis is rejected at a 1 per cent statistical level
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