Johansen cointegration test results
| Hypothesized no. of CE(s) | Trace statistic | 0.05 Critical value | p-value |
|---|---|---|---|
| Panel A | |||
| r=0 | 116.499b | 47.8561 | 0.0000 |
| r>1 | 55.3097b | 29.7970 | 0.0000 |
| r>2 | 27.9785b | 15.4947 | 0.0000 |
| r>3 | 9.2249b | 3.8415 | 0.0024 |
| Hypothesized no. of CE(s) | Trace statistic | 0.05 Critical value | |
|---|---|---|---|
| r=0 | 116.499b | 47.8561 | 0.0000 |
| r>1 | 55.3097b | 29.7970 | 0.0000 |
| r>2 | 27.9785b | 15.4947 | 0.0000 |
| r>3 | 9.2249b | 3.8415 | 0.0024 |
| Hypothesized no. of CE(s) | Max-eigen statistic | 0.05 Critical value | p-value |
|---|---|---|---|
| Panel B | |||
| r=0 | 61.1896b | 27.5843 | 0.0000 |
| r>1 | 27.3312b | 21.1316 | 0.0059 |
| r>2 | 18.7543b | 14.2646 | 0.0091 |
| r>3 | 9.2242b | 3.8415 | 0.0024 |
| Hypothesized no. of CE(s) | Max-eigen statistic | 0.05 Critical value | |
|---|---|---|---|
| r=0 | 61.1896b | 27.5843 | 0.0000 |
| r>1 | 27.3312b | 21.1316 | 0.0059 |
| r>2 | 18.7543b | 14.2646 | 0.0091 |
| r>3 | 9.2242b | 3.8415 | 0.0024 |
bDenotes rejection of the hypothesis at the 0.05 test level
eMacKinnon et al. (1999) p-value
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