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Table 3 Johansen and Juselius tests for co-integration relation, Jan. 1993–Feb. 2019

From: Intrinsic bubbles and Granger causality in the Hong Kong residential property market

Time Series Lags Trace
Statistics
H 0 5%C.V Max
Statistics
Rank 5% C.V.
P t
D t
R t
I t
10
(AIC,
HQ,
SBIC)
89.898 r = 0b 47.856 64.999 R = 0b 27.584
24.898 r ≤ 1 29.797 17.020 r ≤ 1 21.132
7.878 r ≤ 2 15.494 7.331 r ≤ 2 14.265
0.547 r ≤ 3 3.841 0.547 r ≤ 3 3.841
  1. Notes. 10 lags are used in all of the co-integration vectors based on the AIC. H0 is the null hypothesis in which there exists at most r co-integration vectors in the system. The co-integration tests are done under the assumption of a trend in data and an intercept and trend in the co-integration eq. CV (5%) and CV (1%) are the critical values of the trace statistics and maximum eigenvalue statistics for cointegration tests. b indicates significance at the 5% level