Table 5. Results of Johnson’s...

Table 5.

Results of Johnson’s cointegration test

Hypothesized		TS	0.05
No. of CE(s)	EV**	CV***	Prob.
None*	0.9008	150.6501	107.3466	0.0000
At most_1*	0.7997	88.2629	79.3414	0.0090
At most_2	0.6230	44.8472	55.2457	0.2951
At most_3	0.3126	18.5050	35.0109	0.7962
At most_4	0.2396	8.3816	18.3977	0.6437
At most_5	0.0357	0.9830	3.8414	0.3214
TS = trace test specifies two cointegrating eqn(s) at 0.05 level
*Shows that the hypothesis is rejected at 0.05 level
Hypothesized		M-E	0.05
No. of CE(s)	EV**	Stat.	CV***	Prob.
None*	0.9008	62.3872	43.4197	0.0002
At most_1*	0.7997	43.4156	37.1635	0.0085
At most_2	0.6230	26.3422	30.8150	0.1600
At most_3	0.3126	10.1233	24.2520	0.8972
At most_4	0.2396	7.3985	17.1476	0.6693
At most_5	0.0357	0.9830	3.8414	0.3214

Hypothesized		TS	0.05
No. of CE(s)	EV**	CV***	Prob.
None*	0.9008	150.6501	107.3466	0.0000
At most_1*	0.7997	88.2629	79.3414	0.0090
At most_2	0.6230	44.8472	55.2457	0.2951
At most_3	0.3126	18.5050	35.0109	0.7962
At most_4	0.2396	8.3816	18.3977	0.6437
At most_5	0.0357	0.9830	3.8414	0.3214
TS = trace test specifies two cointegrating eqn(s) at 0.05 level
*Shows that the hypothesis is rejected at 0.05 level
Hypothesized		M-E	0.05
No. of CE(s)	EV**	Stat.	CV***	Prob.
None*	0.9008	62.3872	43.4197	0.0002
At most_1*	0.7997	43.4156	37.1635	0.0085
At most_2	0.6230	26.3422	30.8150	0.1600
At most_3	0.3126	10.1233	24.2520	0.8972
At most_4	0.2396	7.3985	17.1476	0.6693
At most_5	0.0357	0.9830	3.8414	0.3214

Notes:

Max-eigen stat test indicates two cointegrating eqn(s) at 0.05 level. *Indicates that the hypothesis is rejected at 0.05 level; **hows eigenvalues; ***Shows critical values

Source: Authors’ own creation

[ViewLarge]