Results of first-generation panel unit root tests
| Test | Test-statistic | |
|---|---|---|
| Levels | First differences | |
| Null hypothesis: unit root | ||
| Levin–Lin–Chu (LLC) test | −8.210* (0.000) | −22.949* (0.000) |
| Breitung test (BT) | −5.329* (0.000) | −11.241* (0.000) |
| Im–Pesaran–Shin (IPS) test | −5.453* (0.000) | −21.713* (0.000) |
| ADF-Fisher x2 (MW) test | 84.901* (0.000) | 384.494* (0.000) |
| Phillips–Perron–Fisher x2 (PPF) | 74.314* (0.000) | 2,148.260* (0.000) |
| Null hypothesis: no unit root | ||
| Common unit process | 8.271* | 21.041* |
| Hadri test (HT) | (0.000) | (0.000) |
| Test | Test-statistic | |
|---|---|---|
| Levin–Lin–Chu (LLC) test | −8.210 | −22.949 |
| Breitung test (BT) | −5.329 | −11.241 |
| Im–Pesaran–Shin (IPS) test | −5.453 | −21.713 |
| ADF-Fisher | 84.901 | 384.494 |
| Phillips–Perron–Fisher | 74.314 | 2,148.260 |
| Common unit process | 8.271 | 21.041 |
| Hadri test (HT) | (0.000) | (0.000) |
Notes:
Indicates statistical significance at the 1% level. For levels, deterministic terms included are individual effects and linear trends. Lags are based on the Schwartz information criteria (SIC) criterion. In Hadri’s test, Heteroscedasticity-consistent Z-statistics are reported
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