Table 3. Performance of Johansen Cointegration test, TTR/DTR/ITR-to-GDP.

1991 to 2020
H0 H1	Statistic	5% critical value	Prob**
I.TTR-GDP
Trace test
None*	18.0636	20.2618	0.0976
At most 1*	3.61459	9.16454	0.4725
γ = 0 γ≧1
Max-eigenvalue test
None*	14.44902	15.8921	0.0831
At most 1*	3.61459	9.16454	0.4725
γ = 0 γ≧1
II.DTR-GDP
Trace test
None*	24.5416	20.2618	0.0121
At most 1*	7.6901	9.1645	0.0945
γ = 0 γ≧1
Max-eigenvalue test
None*	16.8515	15.8921	0.0353
At most 1*	7.6901	9.1645	0.0945
γ = 0 γ≧1
III.ITR-GDP
Trace test
None*	24.5416	20.2618	0.0121
At most 1*	7.6901	9.1645	0.0945
γ = 0 γ≧1
Max-eigenvalue test
None*	16.8515	15.8921	0.0353
At most 1*	7.6901	9.1645	0.0945
γ = 0 γ≧1

Notes: γ denotes number of cointegrating equations; Trace test indicates 1 cointegrating eqn(s) at the 0.05 significance level. Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 significance level.