Table 4.

Johannes cointegration tests

Rank		Trace	0.05
No. of CE(s)	Eigenvalue	Statistic	Critical Value	Prob.**
0	0.923902	136.4874	83.93712	0.0000
1	0.762490	77.24569	60.06141	0.0009
2	0.596038	44.18215	40.17493	0.0188
3	0.430893	23.33418*	24.27596	0.0654
4	0.362159	10.36939	12.32090	0.1039
5	0.001176	0.027074	4.129906	0.8930

^*Denotes rejection of the hypothesis at the 0.05 level

^**MacKinnon–Haug–Michelis (1999) p-values