Cointegration tests
| same AR | Model 1 | Model 2 | Model 3 | ||
|---|---|---|---|---|---|
| Kao test | Modified DF t | parameter, | –14.3347*** | –14.3099*** | –14.4830*** |
| DF t | include time | –16.2714*** | –16.5392*** | –16.6899*** | |
| ADF t | trend | –12.7106*** | –12.4962*** | –12.7806*** | |
| Unadjusted modified DF t | –20.4352*** | –20.7837*** | –20.9638*** | ||
| Unadjusted DF t | –17.1337*** | –17.4737*** | –17.6123*** | ||
| Pedroni test | modified PP t | AR parameter is | 4.9354*** | 4.7157*** | 4.7229*** |
| PP t | panel specific | –3.4199*** | –3.4743*** | –4.0751*** | |
| ADF t | –6.1580*** | –6.1121*** | –6.7485*** | ||
| Modified VR | Same AR | –5.8034*** | –5.7819*** | –5.9050*** | |
| Modified PP t | parameter for all | 3.6106*** | 3.2147*** | 3.2476*** | |
| PP t | panels | –4.1067*** | –4.4490*** | –4.9251*** | |
| ADF t | –6.6863*** | –6.6974*** | –7.3960*** | ||
| Westerlund test | VR | some panels are cointegrated | 2.7015*** | 2.9068*** | 2.5203*** |
| same | Model 1 | Model 2 | Model 3 | ||
|---|---|---|---|---|---|
| Kao test | Modified | parameter, | –14.3347 | –14.3099 | –14.4830 |
| include time | –16.2714 | –16.5392 | –16.6899 | ||
| trend | –12.7106 | –12.4962 | –12.7806 | ||
| Unadjusted modified | –20.4352 | –20.7837 | –20.9638 | ||
| Unadjusted | –17.1337 | –17.4737 | –17.6123 | ||
| Pedroni test | modified | 4.9354 | 4.7157 | 4.7229 | |
| panel specific | –3.4199 | –3.4743 | –4.0751 | ||
| –6.1580 | –6.1121 | –6.7485 | |||
| Modified | Same | –5.8034 | –5.7819 | –5.9050 | |
| Modified | parameter for all | 3.6106 | 3.2147 | 3.2476 | |
| panels | –4.1067 | –4.4490 | –4.9251 | ||
| –6.6863 | –6.6974 | –7.3960 | |||
| Westerlund test | some panels are cointegrated | 2.7015 | 2.9068 | 2.5203 |
, , ; DF- Dickey-Fuller, ADF- Augmented Dickey-Fuller, PP-Phillips-Perron, VR-variance ratio
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