Co-integration test using the Johansen method
| Trace test* | |||
|---|---|---|---|
| Likelihood ratio | Critical value | Critical value | The null hypothesis is the number of vectors of common integration = (r) |
| 5% | 1% | ||
| 150.125 | 221.405 (0.0005) | 132.807 (0.0005) | (r = 0) |
| 95.0552 | 78.705 (0.0327) | 68.728 (0.0124) | (r ≤ 1) |
| 58.4655 | 53.975 (0.0923) | 44.973 (0.0923) | (r ≥ 1) |
| Trace test* | |||
|---|---|---|---|
| Likelihood ratio | Critical value | Critical value | The null hypothesis is the number of vectors of common integration = (r) |
| 5% | 1% | ||
| 150.125 | 221.405 (0.0005) | 132.807 (0.0005) | ( |
| 95.0552 | 78.705 (0.0327) | 68.728 (0.0124) | ( |
| 58.4655 | 53.975 (0.0923) | 44.973 (0.0923) | ( |
Note(s): *Trace test indicated one cointegrating equation at the 0.01 level and zero cointegrating equation at the 0.05 level. The max-eigenvalue test indicated one cointegrating equation at the 0.05 level and one cointegrating equation at the 0.01 level, which was significant according to the table value; see Mackinnon et al.’s (1999) p-values
Source: Own elaboration
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