Table 5 Kao residual cointegration test...

Table 5

Kao residual cointegration test

Pre-GFC
	t-statistic	Prob.
ADF	−4.7848	0.0000**
Residual variance	0.0165
HAC variance	0.0228

Pre-GFC
ADF	−4.7848	0.0000**
Residual variance	0.0165
HAC variance	0.0228

Variable	Coefficient	Std. error	t-statistic	Prob.
RESID(−1)	−0.2436	0.0333	−7.3159	0.0000**
D(RESID(−1))	0.4882	0.0534	9.1384	0.0000**

During-GFC
	t-statistic	Prob.
ADF	−2.5416	0.0055**
Residual variance	0.0359
HAC variance	0.0468

During-GFC
ADF	−2.5416	0.0055**
Residual variance	0.0359
HAC variance	0.0468

Variable	Coefficient	Std. error	t-statistic	Prob.
RESID(−1)	−0.3995	0.0839	−4.7584	0.0000**
D(RESID(−1))	0.4639	0.1090	4.2538	0.0001**

Post-GFC
	t-statistic	Prob.
ADF	−5.4990	0.0000**
Residual variance	0.0389
HAC variance	0.0689

Post-GFC
ADF	−5.4990	0.0000**
Residual variance	0.0389
HAC variance	0.0689

Variable	Coefficient	Std. error	t-statistic	Prob.
RESID(−1)	−0.1825	0.0225	−8.0870	0.0000**
D(RESID(−1))	0.5005	0.0446	11.212	0.0000**

Full sample
	t-statistic	Prob.
ADF	−8.0339	0.0000**
Residual variance	0.0367
HAC variance	0.0638

Full sample
ADF	−8.0339	0.0000**
Residual variance	0.0367
HAC variance	0.0638

Variable	Coefficient	Std. error	t-statistic	Prob.
RESID(−1)	−0.1786	0.0168	−10.604	0.0000**
D(RESID(−1))	0.4672	0.0334	13.980	0.0000**

Note(s): The table reports Kao residual cointegration results for pre-, during- and post-GFC, as well as the full sample. Reported are ADF t-statistics, variances and regression outputs for RESID(−1) and D(RESID(−1)). Findings confirm cointegration across all periods at the 5% level of significance**

Source(s): Authors’ own calculations

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