Table 5 Test of co-integration... | Emerald Publishing

Table 5

Test of co-integration

	Westerlund test	Statistic
Variance	ratio	−1.571*
Pedroni test
Modified Phillips–Perron	t	2.786***
Phillips–Perron	t	−10.465***
Augmented DF	t	−9.799***
Kao test
Modified DF	t	−7.224***
Unadjusted modified Dickey	t	−13.068***
Dickey–Fuller	t	−7.705***
Augmented DF	t	−3.582***
Unadjusted DF	t	−9.065***

	Westerlund test	Statistic
Variance	ratio	−1.571*
Pedroni test
Modified Phillips–Perron	t	2.786***
Phillips–Perron	t	−10.465***
Augmented DF	t	−9.799***
Kao test
Modified DF	t	−7.224***
Unadjusted modified Dickey	t	−13.068***
Dickey–Fuller	t	−7.705***
Augmented DF	t	−3.582***
Unadjusted DF	t	−9.065***

Note(s): H₀: No Cointegration; *** and * denote significance at 1% and 10% respectively

Source(s): Authors' computation