Test | Calculated test statistic | 5% critical value |
Engle and Granger |
|
|
| −3.197909 | 0.0717 |
| −3.161978 | 0.2018 |
Phillips-Ouliaris (1990) |
|
|
| −3.488888 | 0.0345 |
| −3.837277 | 0.0448 |
Johansen |
|
|
Maximum Eigen Value | 38.81014 | 19.38704 |
Trace | 46.55772 | 25.87211 |
Kanioura and Turner (2005) F-test | 4.735876 | 5.83 |
Gregory-Hansen |
|
|
Model C | −4.23 | −4.61 |
Model C/T | −4.11 | −5.50 |
Model C/S | −4.21 | −4.95 |