Global Journal of Human Social Science, E: Economics, Volume 23 Issue 3

direction of too frequent rejection of the null hypothesis of no cointegration. In other words, the Johansen test too often concludes that there is at least one cointegrating relationship between non-stationary variables. The risk of underparametrization of the VAR underlying the test procedure as well as the loss of degrees of freedom introduce level distortions that weaken the effectiveness of the test. Reinsel and Ahn (1992) and Cheung and Lai (1993) have made proposals to correct these distortions. The test statistics and critical values were thus corrected according to the monotonic correction factor proposed by Reinsel and Ahn (1992) and Cheung and Lai (1993). This correction factor allows the risk of spurious cointegration to be mitigated. All the results of the cointegration test are presented in Table 2 below: Table 2: Results of the Johansen-Juselius cointegration tests Number of relationships of cointegration Eigenvalues Statistics of the trace 1 Adjusted trace statistics Critical values at 5%. 2 Critical values at 5% adjusted r 3 =0 0.78432 77.43219 56.54387 * 4 55.78643 63. 086531 r ≤ 0.562100 33.431980 26.65219 44.532190 39.87654 r ≤ 0.0782145 5.7642902 4.5412975 17.754312 19.543218 r ≤ 0.0349856 2.4328962 6.764389 8.3428756 7.543869 Sources: Author 2022 results The results in Table 2 consider the null hypothesis that there is no cointegrating relationship between the four variables (r = 0) is rejected at the 5% threshold by the trace statistic. On the other hand, the hypothesis of at most one cointegrating vector (r ≤ 1) cannot be rejected because the test statistic reports a value below the critical value. The test statistic therefore leads to a cointegrating relationship between the four variables. In order to find out whether all variables actually belong to this cointegrating relationship, an exclusion test was performed (see Johansen and Juselius, 1990). The results of the likelihood ratio tests (Table 3) indicate that the four variables cannot be excluded from the cointegrating space. Table 3: Exclusion test of the cointegrating space Variables χ 2(r) 1 Probabilities Ln(Y) 455.987 0.000* Ln(K) 875.432 0.000 Ln(L) 4486854.0 0.000 Ln(X) 243.8765 0.000 Sources: Author 2022 results, * indicates significance at the 5% level. 1 a/ The values of the statistics are adjusted according to the correction of Reinsel and Ahn (1992) 2 b/ The asymptotic critical values are corrected according to Cheung and Lai (1993) 3 r indicates the number of cointegrating relationships. The SC criterion was used to determine the optimal number of lags. 4 indicates the rejection of the null hypothesis of non-integration at 5%. 1 The exclusion test is based on the likelihood ratio statistic and follows a χ 2(r) distribution, where the number of degrees of freedom r is the number of cointegrating vectors (here r = 1) © 2023 Global Journals Volume XXIII Issue III Version I 5 Global Journal of Human Social Science - Year 2023 ( )E Analysis of Agricultural Exports and Economic Growth in Benin