Table 7 Panel cointegration tests... | Emerald Publishing

Table 7

Panel cointegration tests

Cointegration tests	Statistic	p-value
Kao test
Modified DF t	−5.66***	0.00
DF t	−4.52***	0.00
Augmented DF t	−2.98***	0.00
Unadjusted modified DF t	−7.63***	0.00
Unadjusted DF t	−5.08***	0.00
Pedroni test
MPP t	2.08**	0.02
PP t	−2.25**	0.01
ADF t	−2.22**	0.01
Westerlund test
Variance ratio (H_aˆp ∶ α_i = α < 0)	−1.950**	0.026
Variance ratio $(H_{a}^{p} : α_{i} = α < 0) f o r \forall_{i}$	−1.967**	0.025

Cointegration tests	Statistic	p-value
Kao test
Modified DF t	−5.66***	0.00
DF t	−4.52***	0.00
Augmented DF t	−2.98***	0.00
Unadjusted modified DF t	−7.63***	0.00
Unadjusted DF t	−5.08***	0.00
Pedroni test
MPP t	2.08**	0.02
PP t	−2.25**	0.01
ADF t	−2.22**	0.01
Westerlund test
Variance ratio (H_aˆp ∶ α_i = α < 0)	−1.950**	0.026
Variance ratio $(H_{a}^{p} : α_{i} = α < 0) f o r \forall_{i}$	−1.967**	0.025

Note(s): 1%, 5% and 10% of rejections are denoted by the symbols ***, ** and * respectively