Skip to main content

Table 7 Johansen’s test for multiple cointegration vectors

From: Estimating long-run equilibrium real exchange rates: short-lived shocks with long-lived impacts on Pakistan

H0: H1: Test 0.05 Critical Prob. **
   Statistics Values  
λtrace   Λtrace   
r=0* r>0 100.250 88.803 0.005
r≤1 r>1 57.500 63.876 0.153
r≤2 r>2 32.093 42.915 0.383
r≤3 r>3 13.002 25.782 0.738
r≤4 r>4 4.975 12.517 0.599
  1. Note: Trace test indicates 1 cointegrating equations at the 0.05 level, * denotes rejection of the hypothesis at the 0.05 level.**MacKinnon-Haug-Michelis (1999) p-values.