Table 4. Cross-sectional dependence... | Emerald Publishing

Table 4.

Cross-sectional dependence tests and stationary tests

Variable (in level)	CD test, Pesaran (2004)	Im−Pesaran−Shin test (Z-bar)	Variable (in difference)	Im−Pesaran−Shin test (Z-bar)
CE_MW	7.712***	4.135	DCE_MW	−2.524***
CE_PA	4.561***	−0.453	DCE_PA	−4.251***
CE_MA	0.56	5.055	DCE_MA	−4.224***
CE_RW	19.481***	−0.376	DCE_RW	−5.212***
CE_RB	0.184	−0.068	DCE_RB	−5.050***
CE_RE	8.126***	0.871	DCE_RE	−3.483***
CP	5.672***	−0.237	DCP	−4.722***
EG	20.739***	−1.559**	DEG	−5.225***
TS	42.070***	3.007	DTS	−3.698***
FDI	14.973***	0.463	DFDI	−3.241***
IND	0.103	−4.056***	DIND	−4.653***
GE	0.034	9.771	DDM	−3.370***

Variable (in level)	CD test, Pesaran (2004)	Im−Pesaran−Shin test (Z-bar)	Variable(in difference)	Im−Pesaran−Shin test (Z-bar)
CE_MW	7.712***	4.135	DCE_MW	−2.524***
CE_PA	4.561***	−0.453	DCE_PA	−4.251***
CE_MA	0.56	5.055	DCE_MA	−4.224***
CE_RW	19.481***	−0.376	DCE_RW	−5.212***
CE_RB	0.184	−0.068	DCE_RB	−5.050***
CE_RE	8.126***	0.871	DCE_RE	−3.483***
CP	5.672***	−0.237	DCP	−4.722***
EG	20.739***	−1.559**	DEG	−5.225***
TS	42.070***	3.007	DTS	−3.698***
FDI	14.973***	0.463	DFDI	−3.241***
IND	0.103	−4.056***	DIND	−4.653***
GE	0.034	9.771	DDM	−3.370***

Note(s): ***, **, and * represent 1, 5, and 10% significance level, respectively

Source(s): Authors’ own creation