Table 6 Johansen cointegration tests for... | Emerald Publishing

Table 6

Johansen cointegration tests for log prices of dairy commodities

Commodity	Cointegration rank	Trace test	Maximum eigenvalue test
WMP	r = 0	106.918***	56.474***
	r ≤ l	50.444***	32.925***
	r ≤ 2	17.519	13.976*
	r ≤ 3	3.542	3.542
SMP	r = 0	103.933***	47.915***
	r ≤ l	56.019***	29.642***
	r ≤ 2	26.376***	24.306***
	r ≤ 3	2.070	2.070
Butter	r = 0	82.010***	56.624***
	r ≤ l	25.386	15.326
	r ≤ 2	10.061	6.948
	r ≤ 3	3.113	3.113
Cheddar	r = 0	79.295***	41.968***
	r ≤ l	37.326**	24.852**
	r ≤ 2	12.474	10.340
	r ≤ 3	2.134	2.134

Commodity	Cointegration rank	Trace test	Maximum eigenvalue test
WMP	r = 0	106.918***	56.474***
	r ≤ l	50.444***	32.925***
	r ≤ 2	17.519	13.976*
	r ≤ 3	3.542	3.542
SMP	r = 0	103.933***	47.915***
	r ≤ l	56.019***	29.642***
	r ≤ 2	26.376***	24.306***
	r ≤ 3	2.070	2.070
Butter	r = 0	82.010***	56.624***
	r ≤ l	25.386	15.326
	r ≤ 2	10.061	6.948
	r ≤ 3	3.113	3.113
Cheddar	r = 0	79.295***	41.968***
	r ≤ l	37.326**	24.852**
	r ≤ 2	12.474	10.340
	r ≤ 3	2.134	2.134

Trace test-critical values
	0.01	0.05	0.1
r = 0	61.267	54.079	50.525
r ≤ l	41.195	35.193	32.268
r ≤ 2	25.078	20.262	17.98
r ≤ 3	12.761	9.165	7.557

Maximum eigenvalue test-critical values
	0.01	0.05	0.1
r = 0	33.733	28.588	26.121
r ≤ l	27.068	22.3	20.05
r ≤ 2	20.161	15.892	13.906
r < 3	12.761	9.165	7.557

Note(s): ***, ** and * denote significance level of 1%, 5% and 10%, respectively

Source(s): Own calculations