Results of co-integration test
| Statistics | p-value | |
|---|---|---|
| Westerlund test for cointegration | ||
| Variance Ratio | 4.474*** | 0.000 |
| Pedroni test for cointegration | ||
| Modified variance ratio | −4.734*** | 0.000 |
| Modified Phillips-Perron | 3.939*** | 0.000 |
| Phillips-Perron | −0.349 | 0.363 |
| Augmented Dickey-Fuller | −1.541* | 0.061 |
| Kao test for Cointegration | ||
| Modified Dickey-Fuller | −2.837*** | 0.002 |
| Dickey-Fuller | −2.610*** | 0.004 |
| Augmented Dickey-Fuller | −1.382* | 0.083 |
| Unadjusted Modified Dickey-Fuller | −5.531*** | 0.000 |
| Unadjusted Dickey-Fuller | −3.688*** | 0.000 |
| Statistics | ||
|---|---|---|
| Variance Ratio | 4.474*** | 0.000 |
| Pedroni test for cointegration | ||
| Modified variance ratio | −4.734*** | 0.000 |
| Modified Phillips-Perron | 3.939*** | 0.000 |
| Phillips-Perron | −0.349 | 0.363 |
| Augmented Dickey-Fuller | −1.541* | 0.061 |
| Modified Dickey-Fuller | −2.837*** | 0.002 |
| Dickey-Fuller | −2.610*** | 0.004 |
| Augmented Dickey-Fuller | −1.382* | 0.083 |
| Unadjusted Modified Dickey-Fuller | −5.531*** | 0.000 |
| Unadjusted Dickey-Fuller | −3.688*** | 0.000 |
Note(s): * and *** Significant at level of 10% and 1% respectively
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