Cross-sectional Dependence test and Stationary tests
| Test | CD-test | Im–Pesaran–Shin test | Fisher unit root test | |||
|---|---|---|---|---|---|---|
| Variables | CD-test statistic | p-value | Z-t-tilde-bar statistic | p-value | Inverse chi-squared | p-value |
| FPIin | 5.091*** | 0.000 | −6.621*** | 0.000 | 202.8*** | 0.000 |
| FPInet | 1.148 | 0.251 | −4.713*** | 0.000 | 157.8*** | 0.000 |
| GDPg | 28.48*** | 0.000 | −5.597*** | 0.000 | 151.5*** | 0.000 |
| Sreturn | 36.35*** | 0.000 | −5.653*** | 0.000 | 132.5*** | 0.000 |
| Scap | 15.23*** | 0.000 | −2.446*** | 0.007 | 69.63*** | 0.000 |
| REER | 5.698*** | 0.000 | −5.038*** | 0.000 | 106.0*** | 0.000 |
| Inf | 10.72*** | 0.000 | −3.565*** | 0.000 | 95.93*** | 0.000 |
| TB | 0.24 | 0.810 | 0.535 | 0.703 | 46.27 | 0.300 |
| EPU | 26.28*** | 0.000 | −7.206*** | 0.000 | 229.7*** | 0.000 |
| EPUvo | 22.57*** | 0.000 | −9.571*** | 0.000 | 593.0*** | 0.000 |
| WUI | 56.12*** | 0.000 | −7.057*** | 0.000 | 180.7*** | 0.000 |
| WUIvo | 56.12*** | 0.000 | −8.230*** | 0.000 | 272.3*** | 0.000 |
| Test | CD-test | Im–Pesaran–Shin test | Fisher unit root test | |||
|---|---|---|---|---|---|---|
| Variables | CD-test statistic | Inverse chi-squared | ||||
| FPIin | 5.091*** | 0.000 | −6.621*** | 0.000 | 202.8*** | 0.000 |
| FPInet | 1.148 | 0.251 | −4.713*** | 0.000 | 157.8*** | 0.000 |
| GDPg | 28.48*** | 0.000 | −5.597*** | 0.000 | 151.5*** | 0.000 |
| Sreturn | 36.35*** | 0.000 | −5.653*** | 0.000 | 132.5*** | 0.000 |
| Scap | 15.23*** | 0.000 | −2.446*** | 0.007 | 69.63*** | 0.000 |
| REER | 5.698*** | 0.000 | −5.038*** | 0.000 | 106.0*** | 0.000 |
| Inf | 10.72*** | 0.000 | −3.565*** | 0.000 | 95.93*** | 0.000 |
| TB | 0.24 | 0.810 | 0.535 | 0.703 | 46.27 | 0.300 |
| EPU | 26.28*** | 0.000 | −7.206*** | 0.000 | 229.7*** | 0.000 |
| EPUvo | 22.57*** | 0.000 | −9.571*** | 0.000 | 593.0*** | 0.000 |
| WUI | 56.12*** | 0.000 | −7.057*** | 0.000 | 180.7*** | 0.000 |
| WUIvo | 56.12*** | 0.000 | −8.230*** | 0.000 | 272.3*** | 0.000 |
Note(s): In CD test: the null hypothesis of cross-section independence, CD ∼ N(0,1), p-values close to zero indicate data are correlated across panel groups. In Im–Pesaran–Shin unit-root test: Ho: All panels contain unit roots and Ha: Some panels are stationary. In Fisher-type unit-root test (Based on Phillips–Perron tests): Ho: All panels contain unit roots, Ha: At least one panel is stationary. *, **, *** are significant levels at 10, 5 and 1%, respectively