Table 8 First- and second-generation cointegration tests.

From: The non-linear relationship between ESG performance and bank stability in the digital era: new evidence from a regime-switching approach

Tests

Model with constant

Model with constant & trend

Decision

First-generation

Kao (1999)

−10.651***

−9.365***

Cointegration

Pedroni (2004)

−19.897***

−21.698***

Cointegration

Westerlund (2007)

−3.028***

−5.447***

Cointegration

Pedroni (2001)

Panel v-statistic

−4.481***

−6.973***

Cointegration

Panel rho-statistic

6.671***

8.535***

Cointegration

Panel PP-statistic

−15.16***

−21.24***

Cointegration

Panel ADF-statistic

−12.99***

−13.84***

Cointegration

Group rho-statistic

9.994***

11.72***

Cointegration

Group PP-statistic

−18.78***

−26.48***

Cointegration

Group ADF-statistic

−14.89***

−15.43***

Cointegration

Second-generation

Persyn and Westerlund (2008)

Gt

−4.850***

−4.112***

Cointegration

Ga

−4.996***

−9.296***

Cointegration

Pt

−27.517***

−10.569***

Cointegration

Pa

−0.897

0.336

No Cointegration

  1. Notes: All test statistics are distributed according to a normal distribution with a mean of 0 and a standard deviation of 1, under the null hypothesis of no cointegration. The symbol *** indicates statistical significance at the 1% level.
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