Table 3. Johansen co-integration test...

Table 3.

Johansen co-integration test

Unrestricted co-integration rank test (trace)
Hypothesized		Trace	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical value	Prob.**
None*	0.675031	65.38279	47.85613	0.0005
At most 1*	0.600859	35.03409	29.79707	0.0114
At most 2	0.315519	10.23622	15.49471	0.263
At most 3	2.47E-05	0.000667	3.841466	0.9807

Unrestricted co-integration rank test (trace)
Hypothesized		Trace	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical value	Prob.**
None*	0.675031	65.38279	47.85613	0.0005
At most 1*	0.600859	35.03409	29.79707	0.0114
At most 2	0.315519	10.23622	15.49471	0.263
At most 3	2.47E-05	0.000667	3.841466	0.9807

Notes:

Trace test indicates two cointegrating eqn(s) at the 0.05 level.

Denotes rejection of the hypothesis at the 0.05 level.

MacKinnon-Haug-Michelis (1999) p-values

Source: Authors’ computation

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