Table 3 Results of cointegration test.

From: Monetary policy transmission in India under the base rate and MCLR regimes: a comparative study

Hypothesized no. of CE(s)

Eigenvalue

Trace statistic

0.05 Critical value

p-valuesb

(a)a

    

Unrestricted cointegration rank test (trace)

Nonec

0.87977

63.20644

47.85613

0.00100

At most 1

0.42913

20.83899

29.79707

0.36780

At most 2

0.26635

9.62713

15.49471

0.31050

(b)d

    

Unrestricted cointegration rank test (maximum eigenvalue)

Nonec

0.87977

42.36746

27.58434

0.00030

At most 1

0.42913

11.21186

21.13162

0.62620

At most 2

0.26635

6.19442

14.26460

0.58840

  1. aTrace test indicates 1 cointegrating eqn(s) at the 0.05 level.
  2. bMacKinnon–Haug–Michelis (1999) p-values.
  3. cDenotes rejection of the hypothesis at the 0.05 level.
  4. dMax-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level.
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