Table III. Unrestricted cointegration...

Table III.

Unrestricted cointegration rank Testt–Johansen method: Null H: No cointegration

Panel A: Trace					Panel B: Maximum Eigenvalue
Hypothesized	Eigen value	Trace	0.05	Prob.**	Hypothesized	Eigen value	Max-Eigen	0.05
No. of CE(s)	Eigen value	Sta.	Critical Value	Prob.**	No. of CE(s)	Eigen value	Sta.	Critical Value	Prob.**
None*	0.37	141.0	95.75	0.00	None*	0.37	54.22	40.08	0.00
At most 1*	0.30	86.84	69.82	0.00	At most 1*	0.30	41.34	33.88	0.01
At most 2*	0.15	45.50	47.86	0.08	At most 2 *	0.15	19.32	27.58	0.39
At most 3	0.12	26.18	29.80	0.12	At most 3*	0.12	15.25	21.13	0.27
At most 4	0.08	10.94	15.49	0.22	At most 4	0.08	9.27	14.26	0.26
At most 5	0.01	1.66	3.84	0.20	At most 5	0.01	1.66	3.84	0.20

Panel A: Trace					Panel B: Maximum Eigenvalue
Hypothesized	Eigenvalue	Trace	0.05	Prob.**	Hypothesized	Eigenvalue	Max-Eigen	0.05
No. of CE(s)	Eigenvalue	Sta.	Critical Value	Prob.**	No. of CE(s)	Eigenvalue	Sta.	Critical Value	Prob.**
None*	0.37	141.0	95.75	0.00	None*	0.37	54.22	40.08	0.00
At most 1*	0.30	86.84	69.82	0.00	At most 1*	0.30	41.34	33.88	0.01
At most 2*	0.15	45.50	47.86	0.08	At most 2 *	0.15	19.32	27.58	0.39
At most 3	0.12	26.18	29.80	0.12	At most 3*	0.12	15.25	21.13	0.27
At most 4	0.08	10.94	15.49	0.22	At most 4	0.08	9.27	14.26	0.26
At most 5	0.01	1.66	3.84	0.20	At most 5	0.01	1.66	3.84	0.20

Notes:

While the Trace test indicates 3 cointegrating eqn(s) at the 0.05 leve., the Max-eigenvalue test indicates 4 cointegrating eqn(s) at the 0.05 level;

*denotes rejection of the hypothesis at the 0.05 level;

**MacKinnon–Haug–Michelis (1999) p-values; Series: RHP RDISP ATMR STOCKS REER UNEMPLOYMENT. In both panels, the length pf the lags used in the VAR model is determined by the Akaike Information Criterion (AIC)

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