Panel cointegration – Pedroni and Kao results
| Statistic | p-value | |
|---|---|---|
| Panel I: Pedroni test for cointegration | ||
| Modified Phillips–Perron t | 2.830** | 0.0023 |
| Phillips–Perron t | −10.315** | 0.0000 |
| Augmented Dickey–Fuller t | −9.635** | 0.0000 |
| Panel II: Kao test for cointegration | ||
| Modified Dickey–Fuller t | 0.276 | 0.3911 |
| Dickey–Fuller t | −1.698** | 0.0447 |
| Augmented Dickey–Fuller t | −2.221** | 0.0132 |
| Unadjusted modified Dickey–Fuller t | −0.768 | 0.2212 |
| Unadjusted Dickey–Fuller t | −2.427** | 0.0076 |
| Statistic | ||
|---|---|---|
| Modified Phillips–Perron | 2.830** | 0.0023 |
| Phillips–Perron | −10.315** | 0.0000 |
| Augmented Dickey–Fuller | −9.635** | 0.0000 |
| Modified Dickey–Fuller | 0.276 | 0.3911 |
| Dickey–Fuller | −1.698** | 0.0447 |
| Augmented Dickey–Fuller | −2.221** | 0.0132 |
| Unadjusted modified Dickey–Fuller | −0.768 | 0.2212 |
| Unadjusted Dickey–Fuller | −2.427** | 0.0076 |
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