Table 9 Cointegration tests results.
Kao | ||
---|---|---|
Statistic | p-value | |
Modified D-F t | −3.1251*** | 0.0009 |
D-F t | −2.3865*** | 0.0085 |
Augmented D- t | −3.3577*** | 0.0004 |
Unadjusted modified D- t | −2.7319*** | 0.0031 |
Unadjusted D-F t | −2.2764** | 0.0114 |
Pedroni | ||
Modified P-P t | 3.5364*** | 0.0002 |
P-P t | 2.1701** | 0.0150 |
Augmented D-F t | 1.6246* | 0.0521 |
Westerlund | ||
Variance ratio | 0.6639 | 0.2534 |