Table 5 Johansen test results during...

Table 5

Johansen test results during post-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 *	0.668443	354.1772	239.2354	0.0000	70.65316	64.50472	0.0116
At most 1 *	0.656036	283.5241	197.3709	0.0000	68.30191	58.43354	0.0041
At most 2 *	0.610263	215.2221	159.5297	0.0000	60.30615	52.36261	0.0064
At most 3 *	0.559105	154.9160	125.6154	0.0002	52.41267	46.23142	0.0097
At most 4 *	0.474716	102.5033	95.75366	0.0158	41.20419	40.07757	0.0372
At most 5 *	0.346825	61.29913	69.81889	0.1976	27.25825	33.87687	0.2498
At most 6 *	0.256379	34.04089	47.85613	0.4996	18.95834	27.58434	0.4177
At most 7 *	0.136794	15.08254	29.79707	0.7747	9.414488	21.13162	0.7977
At most 8 *	0.084605	5.668053	15.49471	0.7343	5.657609	14.26460	0.6575
At most 9	0.000163	0.010444	3.841465	0.9183	0.010444	3.841465	0.9183

Number of cointegrating relations	Eigenvalue	TraceStatistic	0.05Critical value	Prob.**	Max-eigenStatistic	0.05Critical value	Prob.**
None *	0.668443	354.1772	239.2354	0.0000	70.65316	64.50472	0.0116
At most 1 *	0.656036	283.5241	197.3709	0.0000	68.30191	58.43354	0.0041
At most 2 *	0.610263	215.2221	159.5297	0.0000	60.30615	52.36261	0.0064
At most 3 *	0.559105	154.9160	125.6154	0.0002	52.41267	46.23142	0.0097
At most 4 *	0.474716	102.5033	95.75366	0.0158	41.20419	40.07757	0.0372
At most 5 *	0.346825	61.29913	69.81889	0.1976	27.25825	33.87687	0.2498
At most 6 *	0.256379	34.04089	47.85613	0.4996	18.95834	27.58434	0.4177
At most 7 *	0.136794	15.08254	29.79707	0.7747	9.414488	21.13162	0.7977
At most 8 *	0.084605	5.668053	15.49471	0.7343	5.657609	14.26460	0.6575
At most 9	0.000163	0.010444	3.841465	0.9183	0.010444	3.841465	0.9183

Note(s): Trace test indicates 5 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