Table 5 Westerlund and Pedroni cointegration test.
Pedroni cointegration test | |||
|---|---|---|---|
Test Statistic | Value | p−value | |
Modified Phillips–Perron t | 2.7258 | 0.0032 | |
Phillips–Perron t | −2.5531 | 0.0053 | |
Augmented Dickey–Fuller t | −1.6303 | 0.0515 | |
Westerlund cointegration test | |||
Statistic | Value | Z-value | P-value |
Gt | −1.355 | 5.498 | 1.000 |
Ga | −3.765 | 6.875 | 1.000 |
