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Table 5
JOHANSEN's cointegration test.
| Lags interval (in first differences): No lags | ||||
| Unrestricted Cointegration Rank Test (Trace) | ||||
| Hypothesized | Trace | 0.05 | ||
| No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** |
| None * | 0.651237 | 313.9931 | 111.7805 | 0.0000 |
| At most 1 * | 0.486312 | 176.0025 | 83.93712 | 0.0000 |
| At most 2 * | 0.253472 | 88.73832 | 60.06141 | 0.0000 |
| At most 3 * | 0.182061 | 50.44407 | 40.17493 | 0.0034 |
| At most 4 | 0.124249 | 24.11731 | 24.27596 | 0.0523 |
| At most 5 | 0.042769 | 6.737094 | 12.32090 | 0.3521 |
| At most 6 | 0.007688 | 1.011031 | 4.129906 | 0.3652 |
| Trace test indicates 4 cointegrating eqn(s) at the 0.05 level. | ||||
| * denotes rejection of the hypothesis at the 0.05 level. | ||||
| **MacKinnon-Haug-Michelis (1999) p-values. | ||||
| Unrestricted Cointegration Rank Test (Maximum Eigenvalue) | ||||
| Hypothesized | Max-Eigen | 0.05 | ||
| No. of CE(s) | Eigenvalue | Statistic | Critical Value | Prob.** |
| None * | 0.651237 | 137.9906 | 42.77219 | 0.0000 |
| At most 1 * | 0.486312 | 87.26415 | 36.63019 | 0.0000 |
| At most 2 * | 0.253472 | 38.29424 | 30.43961 | 0.0043 |
| At most 3 * | 0.182061 | 26.32676 | 24.15921 | 0.0251 |
| At most 4 | 0.124249 | 17.38022 | 17.79730 | 0.0577 |
| At most 5 | 0.042769 | 5.726063 | 11.22480 | 0.3819 |
| At most 6 | 0.007688 | 1.011031 | 4.129906 | 0.3652 |
| Max-eigenvalue test indicates 4 cointegrating eqn(s) at the 0.05 level. | ||||
| * denotes rejection of the hypothesis at the 0.05 level. | ||||
| **MacKinnon-Haug-Michelis (1999) p-values. | ||||
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