Cointegration and cross-sectional independence tests
| Regions (s) | Pedroni tests for cointegration | Tests for cross-sectional independence | ||||
|---|---|---|---|---|---|---|
| Newly democratic African countries | Augmented Dickey–Fuller t | 4.99 | Pr = 0.008 | Friedman’s test | 154.94 | Pr = 0.00 |
| Modified Phillips–Perron t | 3.20 | Pr = 0.003 | Frees’ test | 2.95 | Pr = 0.00 | |
| Phillips Perron t | 4.65 | Pr = 0.040 | Pesaran’s test | 16.00 | Pr = 0.00 | |
| Newly democratic European countries | Augmented Dickey–Fuller t | 6.03 | Pr = 0.000 | Friedman’s test | 124.11 | Pr = 0.00 |
| Modified Phillips–Perron t | 2.00 | Pr = 0.000 | Frees’ test | 3.56 | Pr = 0.00 | |
| Phillips Perron t | 5.19 | Pr = 0.000 | Pesaran’s test | 18.40 | Pr = 0.00 | |
| Regions (s) | Pedroni tests for cointegration | Tests for cross-sectional independence | ||||
|---|---|---|---|---|---|---|
| Newly democratic African countries | Augmented Dickey–Fuller | 4.99 | Pr = 0.008 | Friedman’s test | 154.94 | Pr = 0.00 |
| Modified Phillips–Perron | 3.20 | Pr = 0.003 | Frees’ test | 2.95 | Pr = 0.00 | |
| Phillips Perron | 4.65 | Pr = 0.040 | Pesaran’s test | 16.00 | Pr = 0.00 | |
| Newly democratic European countries | Augmented Dickey–Fuller | 6.03 | Pr = 0.000 | Friedman’s test | 124.11 | Pr = 0.00 |
| Modified Phillips–Perron | 2.00 | Pr = 0.000 | Frees’ test | 3.56 | Pr = 0.00 | |
| Phillips Perron | 5.19 | Pr = 0.000 | Pesaran’s test | 18.40 | Pr = 0.00 | |
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