Table 6 Johansen test results during...

Table 6

Johansen test results during most recent 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 *	0.846620	392.7454	239.2354	0.0000	119.9896	64.50472	0.0000
At most 1 *	0.702374	272.7558	197.3709	0.0000	77.56265	58.43354	0.0003
At most 2 *	0.637797	195.1931	159.5297	0.0001	64.99530	52.36261	0.0016
At most 3 *	0.466725	130.1978	125.6154	0.0255	40.23800	46.23142	0.1903
At most 4 *	0.384521	89.95981	95.75366	0.1171	31.06272	40.07757	0.3569
At most 5 *	0.296061	58.89709	69.81889	0.2708	22.46807	33.87687	0.5714
At most 6 *	0.270870	36.42901	47.85613	0.3750	20.21778	27.58434	0.3263
At most 7 *	0.147266	16.21123	29.79707	0.6974	10.19567	21.13162	0.7260
At most 8 *	0.089446	6.015561	15.49471	0.6937	5.996929	14.26460	0.6136
At most 9	0.000291	0.018632	3.841465	0.8913	0.018632	3.841465	0.8913

Number of cointegrating relations	Eigenvalue	TraceStatistic	0.05Critical value	Prob.**	Max-eigenStatistic	0.05Critical value	Prob.**
None *	0.846620	392.7454	239.2354	0.0000	119.9896	64.50472	0.0000
At most 1 *	0.702374	272.7558	197.3709	0.0000	77.56265	58.43354	0.0003
At most 2 *	0.637797	195.1931	159.5297	0.0001	64.99530	52.36261	0.0016
At most 3 *	0.466725	130.1978	125.6154	0.0255	40.23800	46.23142	0.1903
At most 4 *	0.384521	89.95981	95.75366	0.1171	31.06272	40.07757	0.3569
At most 5 *	0.296061	58.89709	69.81889	0.2708	22.46807	33.87687	0.5714
At most 6 *	0.270870	36.42901	47.85613	0.3750	20.21778	27.58434	0.3263
At most 7 *	0.147266	16.21123	29.79707	0.6974	10.19567	21.13162	0.7260
At most 8 *	0.089446	6.015561	15.49471	0.6937	5.996929	14.26460	0.6136
At most 9	0.000291	0.018632	3.841465	0.8913	0.018632	3.841465	0.8913

Note(s): Trace test indicates 4 cointegrating eqn(s) and Max-eigenvalue test indicates 3 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