Table 3 Co-integration tests Test for... | Emerald Publishing

Table 3

Co-integration tests

Test for co-integration	Kao					Westerlund
Types	Modified DF	DF	Augmented DF	Unadjusted modified DF	Unadjusted DF	Variance ratio
Statistic	−3.161	−4.202	−2.197	−7.281	−6.069	−3.085
p-value	0.001	0.000	0.014	0.000	0.000	0.001
No. Panels	37	37	37	37	37	37
No. Periods	27	27	27	27	27	28
H0: No co-integration	na	na	na	na	na	na
Ha: All panels are co-integrated	YES	YES	YES	YES	YES	na
Ha: Some panels are co-integrated	na	na	na	na	na	YES

Test for co-integration	Kao					Westerlund
Types	Modified DF	DF	Augmented DF	Unadjusted modified DF	Unadjusted DF	Variance ratio
Statistic	−3.161	−4.202	−2.197	−7.281	−6.069	−3.085
p-value	0.001	0.000	0.014	0.000	0.000	0.001
No. Panels	37	37	37	37	37	37
No. Periods	27	27	27	27	27	28
H0: No co-integration	na	na	na	na	na	na
Ha: All panels are co-integrated	YES	YES	YES	YES	YES	na
Ha: Some panels are co-integrated	na	na	na	na	na	YES

Source(s): Table by author