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Hey, guys!

I have some doubts about my results. Can I say that I found cointegration among the series?

Thanks ;)

Included observations: 3300 after adjustments
Trend assumption: Linear deterministic trend Series: ES GER GR IR IT PT
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)

Hypothesized Eigenvalue Trace 0.05
No. of CE(s) Statistic Critical Value Prob.**
None * 0.023090 193.8616 95.75366 0.0000
At most 1 * 0.018369 116.7707 69.81889 0.0000
At most 2 * 0.009716 55.58879 47.85613 0.0079
At most 3 0.003740 23.37033 29.79707 0.2283
At most 4 0.003305 11.00366 15.49471 0.2113
At most 5 2.37E-05 0.078305 3.841466 0.7796


Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Eigenvalue Max-Eigen 0.05
No. of CE(s) Statistic Critical Value Prob.**
None * 0.023090 77.09098 40.07757 0.0000
At most 1 * 0.018369 61.18187 33.87687 0.0000
At most 2 * 0.009716 32.21845 27.58434 0.0118
At most 3 0.003740 12.36667 21.13162 0.5119
At most 4 0.003305 10.92536 14.26460 0.1580
At most 5 2.37E-05 0.078305 3.841466 0.7796

Yes there's three CE. Lucky you both results did not conflict. Anyway, what seems suspicious is your choice of lag length. Its bit too small relative to your sample size (3300). I recommend doing some diagnostics on VAR(5) to see any residual autocorrelation. Johansen Test is sensitive to underspecification in which it tends to reject the no of coint. null.