Table 2 Cross-section dependence test...

Table 2

Cross-section dependence test

CDS tests	Breusch-Pagan LM		Pesaran scaled LM		Pesaran CD
	T-statistic	P-value	T-statistic	P-value	T-statistic	P-value
Pre-GFC	25.745	0.5871	−0.3013	0.7632	2.0290	0.0424
During-GFC	12.051	0.9962	−2.1312	0.0331	−0.4980	0.6185
Post-GFC	9.5593	0.9995	−2.4642	0.0137	0.0099	0.9921
Full-sample	39.334	0.0757	1.5145	0.1299	0.5059	0.6129

CDS tests	Breusch-Pagan LM		Pesaran scaled LM		Pesaran CD
	T-statistic	P-value	T-statistic	P-value	T-statistic	P-value
Pre-GFC	25.745	0.5871	−0.3013	0.7632	2.0290	0.0424
During-GFC	12.051	0.9962	−2.1312	0.0331	−0.4980	0.6185
Post-GFC	9.5593	0.9995	−2.4642	0.0137	0.0099	0.9921
Full-sample	39.334	0.0757	1.5145	0.1299	0.5059	0.6129

Note(s): The table presents cross-sectional dependence test results (Breusch–Pagan LM, Pesaran scaled LM and Pesaran CD) with respective p-values across Pre-, During-, Post-GFC and full-sample periods

Source(s): Authors’ own calculations

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