Results of panel cointegration test
| Variables | Pedroni test | Kao test | |||
|---|---|---|---|---|---|
| Full sample | |||||
| Weighted stats | Group stats | ||||
| Panel v-stat | −0.23 (0.591) | Group rho-stat | 2.629 (0.995) | −2.75 (0.003)** | |
| Panel rho-stat | 1.86 (0.968) | Group PP-stat | −2.02 (0.021)** | ||
| Panel PP-stat | −1.92 (0.027)** | Group ADF-stat | −2.24 (0.012)** | ||
| Panel ADF-stat | −2.01 (0.022)** | ||||
| Africa | |||||
| Panel v-stat | 9.67(0.000)*** | Group rho-stat | 1.03 (0.849) | −5.00 (0.000)*** | |
| Panel rho-stat | −0.14 (0.442) | Group PP-stat | −1.75 ( 0.039)** | ||
| Panel PP-stat | −3.56 (0.002)** | Group ADF-stat | −0.05 (0.479) | ||
| Panel ADF-stat | −0.63 (0.264) | ||||
| Asia | |||||
| Panel v-stat | −1.58 (0.943) | Group rho-stat | 1.44 (0.925) | −4.97 (0.000)*** | |
| Panel rho-stat | 0.54 (0.706) | Group PP-stat | −2.62 (0.003)** | ||
| Panel PP-stat | −2.46 (0.010)** | Group ADF-stat | −2.46 (0.006)** | ||
| Panel ADF-stat | −2.21 (0.013)** | ||||
| Europe | |||||
| Panel v-stat | −1.90 (0.971) | Group rho-stat | 3.89 (1.000) | −5.38 (0.000)*** | |
| Panel rho-stat | 2.33 (0.990) | Group PP-stat | −8.05 (0.000)*** | ||
| Panel PP-stat | −4.57 (0.000)*** | Group ADF-stat | −2.12 (0.017)** | ||
| Panel ADF-stat | −3.53 (0.003)** | ||||
| North America | |||||
| Panel v-stat | −0.26 (0.604) | Group rho-stat | 0.12 (0.550) | −5.00 (0.000)*** | |
| Panel rho-stat | −0.21 (0.415) | Group PP-stat | −2.35 (0.009)** | ||
| Panel PP-stat | −1.52 (0.024)** | Group ADF-stat | −2.40 (0.007)** | ||
| Panel ADF-stat | −2.15 (0.013)** | ||||
| South America | |||||
| Panel v-stat | 1.35 (0.087)* | Group rho-stat | −0.68 (0.248) | −3.04 (0.001)** | |
| Panel rho-stat | −1.25 (0.104) | Group PP-stat | −3.83 (0.0001)** | ||
| Panel PP-stat | −4.05 (0.000)*** | Group ADF-stat | −1.80 (0.035)** | ||
| Panel ADF-stat | −1.75 (0.039)** | ||||
| Variables | Pedroni test | Kao test | |||
|---|---|---|---|---|---|
| Weighted stats | Group stats | ||||
| Panel v-stat | −0.23 (0.591) | Group rho-stat | 2.629 (0.995) | −2.75 (0.003)** | |
| Panel rho-stat | 1.86 (0.968) | Group PP-stat | −2.02 (0.021)** | ||
| Panel PP-stat | −1.92 (0.027)** | Group ADF-stat | −2.24 (0.012)** | ||
| Panel ADF-stat | −2.01 (0.022)** | ||||
| Panel | 9.67(0.000)*** | Group rho-stat | 1.03 (0.849) | −5.00 (0.000)*** | |
| Panel rho-stat | −0.14 (0.442) | Group PP-stat | −1.75 ( 0.039)** | ||
| Panel PP-stat | −3.56 (0.002)** | Group ADF-stat | −0.05 (0.479) | ||
| Panel ADF-stat | −0.63 (0.264) | ||||
| Panel | −1.58 (0.943) | Group rho-stat | 1.44 (0.925) | −4.97 (0.000)*** | |
| Panel rho-stat | 0.54 (0.706) | Group PP-stat | −2.62 (0.003)** | ||
| Panel PP-stat | −2.46 (0.010)** | Group ADF-stat | −2.46 (0.006)** | ||
| Panel ADF-stat | −2.21 (0.013)** | ||||
| Panel | −1.90 (0.971) | Group rho-stat | 3.89 (1.000) | −5.38 (0.000)*** | |
| Panel rho-stat | 2.33 (0.990) | Group PP-stat | −8.05 (0.000)*** | ||
| Panel PP-stat | −4.57 (0.000)*** | Group ADF-stat | −2.12 (0.017)** | ||
| Panel ADF-stat | −3.53 (0.003)** | ||||
| Panel | −0.26 (0.604) | Group rho-stat | 0.12 (0.550) | −5.00 (0.000)*** | |
| Panel rho-stat | −0.21 (0.415) | Group PP-stat | −2.35 (0.009)** | ||
| Panel PP-stat | −1.52 (0.024)** | Group ADF-stat | −2.40 (0.007)** | ||
| Panel ADF-stat | −2.15 (0.013)** | ||||
| Panel | 1.35 (0.087)* | Group rho-stat | −0.68 (0.248) | −3.04 (0.001)** | |
| Panel rho-stat | −1.25 (0.104) | Group PP-stat | −3.83 (0.0001)** | ||
| Panel PP-stat | −4.05 (0.000)*** | Group ADF-stat | −1.80 (0.035)** | ||
| Panel ADF-stat | −1.75 (0.039)** | ||||
Note(s): ****, ** and * denote a rejection of the null hypothesis of no cointegration at 1%, 5% and 10% respectively
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