Hypothesizing directional causality between the governance indicators and economic growth: the case of Afghanistan

Future Business Journal

Table 4 Johansen cointegration test result

	Eigenvalues	Test statistics	p values
\( \lambda_{\text{trace}} \) (2003Q01–2018Q01) after sample adjustment: AIC
\( H_{O} :r = 0\;{\text{versus}}\;H_{A} :r \ge 1 \)	0.552	124.686	0.000***
\( H_{O} :r \le 1\;{\text{versus}}\;H_{A} :r \ge 2 \)	0.407	77.264	0.000***
\( H_{O} :r \le 2\;{\text{versus}}\;H_{A} :r \ge 3 \)	0.290	46.429	0.067
\( H_{O} :r \le 3\;{\text{versus}}\;H_{A} :r \ge 4 \)	0.221	26.222	0.122
\( H_{O} :r \le 4\;{\text{versus}}\;H_{A} :r \ge 5 \)	0.165	11.430	0.186
\( H_{O} :r \le 5\;{\text{versus}}\;H_{A} :r \ge 6 \)	0.012	0.732	0.392
\( \lambda_{\hbox{max} } \) (2003Q01–2018Q01) after sample adjustment: AIC
\( H_{O} :r = 0\;{\text{versus}}\;H_{A} :r \ge 1 \)	0.6926	47.421	0.006***
\( H_{O} :r \le 1\;{\text{versus}}\;H_{A} :r \ge 2 \)	0.407	30.835	0.110
\( H_{O} :r \le 2\;{\text{versus}}\;H_{A} :r \ge 3 \)	0.290	20.206	0.327
\( H_{O} :r \le 3\;{\text{versus}}\;H_{A} :r \ge 4 \)	0.221	14.792	0.303
\( H_{O} :r \le 4\;{\text{versus}}\;H_{A} :r \ge 5 \)	0.165	10.697	0.170
\( H_{O} :r \le 5\;{\text{versus}}\;H_{A} :r \ge 6 \)	0.012	0.732	0.392

Since government effectiveness (GE) is an I(0) series and shows no linear combination, it is excluded from the test shown in this table
***Significant at 1% level of confidence (p < 0.01), **Significant at 5% level of confidence (p < 0.05), *Significant at 10% level of confidence (p < 0.10)