Table 5 Cointegration tests Statistics... | Emerald Publishing

Table 5

Cointegration tests

Statistics	Value	p-value
Pedroni test Ho: no cointegration – Ha: all panels were cointegrated
Modified Phillips-Perron regression	2.423	0.008***
Phillips-Perron regression	(4.341)	0.000***
Augmented Dickey-Fuller regression	(4.030)	0.000***
Kao test Ho: no cointegration – Ha: all panels were cointegrated
Modified Dickey-Fuller t	−8.811	0.000***
Dickey-Fuller t	−5.687	0.000***
Augmented Dickey-Fuller t	−5.837	0.000***
Unadjusted modified Dickey-Fuller t	−8.949	0.000***
Unadjusted Dickey-Fuller t	−5.701	0.000***

Statistics	Value	p-value
Pedroni testHo: no cointegration – Ha: all panels were cointegrated
Modified Phillips-Perron regression	2.423	0.008***
Phillips-Perron regression	(4.341)	0.000***
Augmented Dickey-Fuller regression	(4.030)	0.000***
Kao testHo: no cointegration – Ha: all panels were cointegrated
Modified Dickey-Fuller t	−8.811	0.000***
Dickey-Fuller t	−5.687	0.000***
Augmented Dickey-Fuller t	−5.837	0.000***
Unadjusted modified Dickey-Fuller t	−8.949	0.000***
Unadjusted Dickey-Fuller t	−5.701	0.000***

Note(s): ***Represents significance at the 1% level. The null and alternative hypotheses were Ho and Ha, respectively

Source(s): Authors' computation