Table II. Johansen cointegration test...

Table II.

Johansen cointegration test between real house prices, real disposable income, real GDP per capita and rent: 1986Q1 to 2016Q4

Trace test 0.05					Max-Eigenvalue test 0.05
No. of CE(s)	Eigen	Statistic	Critical value	Prob.**	No. of CE(s)	Eigen
No. of CE(s)	value	Statistic	Critical value	Prob.**	No. of CE(s)	value	Statistic	Critical value	Prob.**
Panel A Co-integration between real house prices and real disposable income
None	0.084	13.944	15.495	0.085	None	0.084	10.408	14.265	0.187*
At most 1	0.030	3.535	3.841	0.060	At most 1	0.030	3.535	3.841	0.060
Panel B Co-integration between real house prices and rent
None	0.11	15.11	15.49	0.06	None	0.11	13.83	14.26	0.06*
At most 1	0.01	1.28	3.84	0.26	At most 1	0.01	1.28	3.84	0.26

Trace test 0.05					Max-Eigenvalue test 0.05
No. of CE(s)	Eigen	Statistic	Critical value	Prob.**	No. of CE(s)	Eigen
No. of CE(s)	value	Statistic	Critical value	Prob.**	No. of CE(s)	value	Statistic	Critical value	Prob.**
Panel A Co-integration between real house prices and real disposable income
None	0.084	13.944	15.495	0.085	None	0.084	10.408	14.265	0.187*
At most 1	0.030	3.535	3.841	0.060	At most 1	0.030	3.535	3.841	0.060
Panel B Co-integration between real house prices and rent
None	0.11	15.11	15.49	0.06	None	0.11	13.83	14.26	0.06*
At most 1	0.01	1.28	3.84	0.26	At most 1	0.01	1.28	3.84	0.26

Notes:

Trace and Max-Eigenvalue tests indicate no cointegration at the 0.05 level up to 4 lags; *denotes rejection of the hypothesis at the 0.05 level;

MacKinnon et al. (1999) p-values

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