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Table 2

Results of Johansen cointegration test

Trace-test
Max-eigenvalue test
H0: rank = rTrace statistic0.05 critical valueProb.H0: rank = rMax-eigen statistic0.05 critical valueProb.
r = 0* 238.24 125.62 r = 0* 89.42 46.23 
r ≤ 1* 148.82 95.75 r ≤ 1* 55.26 40.08 0.0005 
r ≤ 2* 93.56 69.82 0.0002 r ≤ 2* 38.66 33.88 0.0124 
r ≤ 3* 54.90 47.86 0.0095 r ≤ 3* 27.93 27.58 0.0452 
r ≤ 4 26.97 29.80 0.1023 r ≤ 4 14.24 21.13 0.3458 
r ≤ 5 12.73 15.49 0.1249 r ≤ 5 8.91 14.26 0.2939 
r ≤ 6 3.82 3.84 0.0504 r ≤ 6 3.83 3.84 0.0504 
Trace-test
Max-eigenvalue test
H0: rank = rTrace statistic0.05 critical valueProb.H0: rank = rMax-eigen statistic0.05 critical valueProb.
r = 0* 238.24 125.62 r = 0* 89.42 46.23 
r ≤ 1* 148.82 95.75 r ≤ 1* 55.26 40.08 0.0005 
r ≤ 2* 93.56 69.82 0.0002 r ≤ 2* 38.66 33.88 0.0124 
r ≤ 3* 54.90 47.86 0.0095 r ≤ 3* 27.93 27.58 0.0452 
r ≤ 4 26.97 29.80 0.1023 r ≤ 4 14.24 21.13 0.3458 
r ≤ 5 12.73 15.49 0.1249 r ≤ 5 8.91 14.26 0.2939 
r ≤ 6 3.82 3.84 0.0504 r ≤ 6 3.83 3.84 0.0504 

Note: The asterisks represent the statistical significance at 5% levels, respectively.

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