Table 5. Results of Cointegration Tests

- Trace statistic p-value
Number of cointegration Relationship: none 22.053 0.028**
Number of cointegration Relationship: at most 1 4.965 0.287
Cointegrating vector [1 β c] such that [ 1βc ][ Ct1Pt11 ] ) [1 -1.826 7.603]
Note: 1)Indicate Significance at 5% level.
For the explanation of the trace statistic, refer to Johansen (1995).
The p-value means MacKinnon, Haug and Michelis (1999) one-sided p-value.
The values less than 1/1000 are dropped.