Table 4 Pedroni and Kao cointegration tests.
(A) Pedroni cointegration test | |||
|---|---|---|---|
Alternative hypothesis: single subject AR coefficient (inside dimensions) | |||
Estimates | Stats. | Prob. | |
Panel v Statistics | −0.324 | 0.627 | |
Panel rho Statistics | −0.139 | 0.444 | |
Panel PP Statistics | −6.072 | 0.000 | |
Panel ADF Statistics | −5.834 | 0.000 | |
Alternative hypothesis: single subject AR coefficient (between dimensions) | |||
Group rho Statistic | 0.686 | 0.753 | |
Group PP Statistic | −11.600 | 0.000 | |
Group ADF Statistic | −6.858 | 0.000 | |
(B) Kao test | |||
ADF | t-statistic | Prob. | |
−3.263 | 0.000 | ||
