Table 3 Johansen test results during...

Table 3

Johansen test results during pre-COVID-19 period-unrestricted cointegration rank test (Trace and maximum Eigenvalue)

Number of cointegrating relations	Eigenvalue	Trace Statistic	0.05 Critical value	Prob.**	Max-eigen Statistic	0.05 Critical value	Prob.**
None *	0.782461	406.6155	239.2354	0.0000	97.62404	64.50472	0.0000
At most 1 *	0.649216	308.9914	197.3709	0.0000	67.04540	58.43354	0.0058
At most 2 *	0.608451	241.9460	159.5297	0.0000	60.00920	52.36261	0.0069
At most 3 *	0.558575	181.9368	125.6154	0.0000	52.33589	46.23142	0.0099
At most 4 *	0.510236	129.6009	95.75366	0.0000	45.68523	40.07757	0.0106
At most 5 *	0.348686	83.91570	69.81889	0.0025	27.44090	33.87687	0.2405
At most 6 *	0.292359	56.47480	47.85613	0.0063	22.13238	27.58434	0.2137
At most 7 *	0.252901	34.34242	29.79707	0.0140	18.65968	21.13162	0.1071
At most 8 *	0.182305	15.68274	15.49471	0.0468	12.88099	14.26460	0.0817
At most 9	0.042833	2.801745	3.841465	0.0942	2.801745	3.841465	0.0942

Number of cointegrating relations	Eigenvalue	TraceStatistic	0.05Critical value	Prob.**	Max-eigenStatistic	0.05Critical value	Prob.**
None *	0.782461	406.6155	239.2354	0.0000	97.62404	64.50472	0.0000
At most 1 *	0.649216	308.9914	197.3709	0.0000	67.04540	58.43354	0.0058
At most 2 *	0.608451	241.9460	159.5297	0.0000	60.00920	52.36261	0.0069
At most 3 *	0.558575	181.9368	125.6154	0.0000	52.33589	46.23142	0.0099
At most 4 *	0.510236	129.6009	95.75366	0.0000	45.68523	40.07757	0.0106
At most 5 *	0.348686	83.91570	69.81889	0.0025	27.44090	33.87687	0.2405
At most 6 *	0.292359	56.47480	47.85613	0.0063	22.13238	27.58434	0.2137
At most 7 *	0.252901	34.34242	29.79707	0.0140	18.65968	21.13162	0.1071
At most 8 *	0.182305	15.68274	15.49471	0.0468	12.88099	14.26460	0.0817
At most 9	0.042833	2.801745	3.841465	0.0942	2.801745	3.841465	0.0942

Note(s): Trace test indicates 9 cointegrating eqn(s) and max-eigenvalue test indicates 5 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

**p-values

Source(s): Author’s calculations