Table 4 Johansen test results during...

Table 4

Johansen test results during COVID-19 crisis 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 *	0.762135	356.7044	239.2354	0.0000	90.47122	64.50472	0.0000
At most 1 *	0.623646	266.2332	197.3709	0.0000	61.56521	58.43354	0.0238
At most 2 *	0.585354	204.6680	159.5297	0.0000	55.46085	52.36261	0.0233
At most 3 *	0.533039	149.2071	125.6154	0.0008	47.97506	46.23142	0.0322
At most 4 *	0.448549	101.2321	95.75366	0.0199	37.49771	40.07757	0.0950
At most 5 *	0.322033	63.73434	69.81889	0.1389	24.48540	33.87687	0.4206
At most 6 *	0.286191	39.24894	47.85613	0.2505	21.23982	27.58434	0.2620
At most 7 *	0.175403	18.00912	29.79707	0.5654	12.15022	21.13162	0.5329
At most 8 *	0.063187	5.858904	15.49471	0.7121	4.112110	14.26460	0.8473
At most 9	0.027346	1.746794	3.841465	0.1863	1.746794	3.841465	0.1863

Number of cointegrating relations	Eigenvalue	TraceStatistic	0.05Critical value	Prob.**	Max-eigenStatistic	0.05Critical value	Prob.**
None *	0.762135	356.7044	239.2354	0.0000	90.47122	64.50472	0.0000
At most 1 *	0.623646	266.2332	197.3709	0.0000	61.56521	58.43354	0.0238
At most 2 *	0.585354	204.6680	159.5297	0.0000	55.46085	52.36261	0.0233
At most 3 *	0.533039	149.2071	125.6154	0.0008	47.97506	46.23142	0.0322
At most 4 *	0.448549	101.2321	95.75366	0.0199	37.49771	40.07757	0.0950
At most 5 *	0.322033	63.73434	69.81889	0.1389	24.48540	33.87687	0.4206
At most 6 *	0.286191	39.24894	47.85613	0.2505	21.23982	27.58434	0.2620
At most 7 *	0.175403	18.00912	29.79707	0.5654	12.15022	21.13162	0.5329
At most 8 *	0.063187	5.858904	15.49471	0.7121	4.112110	14.26460	0.8473
At most 9	0.027346	1.746794	3.841465	0.1863	1.746794	3.841465	0.1863

Note(s): Trace test indicates 5 cointegrating eqn(s) and Max-eigenvalue test indicates 4 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