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Table 5.

Johansen's cointegration test with small sample correction

Reinsel and AhnReinsel and AhnJohansen
Correction methodTrace statisticMax-eigen statisticTrace statistic
r = 0 18.26** 15.46** 16.277** 
 2.80 2.80 1.863 
Reinsel and AhnReinsel and AhnJohansen
Correction methodTrace statisticMax-eigen statisticTrace statistic
r = 0 18.26** 15.46** 16.277** 
 2.80 2.80 1.863 

Note: The optimal number of lags is chosen based on the Schwarz information criterion.

**Significance at the 5% level.

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