Table 2:
Results of Kao and PedroniCo-integration test
| Variable | t-statistic | P-value |
|---|---|---|
| Modified Dickey-Fuller t | −5.8461*** | 0.0000 |
| Dickey-Fuller t | −5.6047*** | 0.0000 |
| Augmented Dickey-Fuller t | −2.5498*** | 0.0054 |
| Unadjusted Modified Dickey-Fuller t | −9.3013*** | 0.0000 |
| Unadjusted Dickey-Fuller t | −6.3698*** | 0.0000 |
| Modified Phillips-Perron t | 1.0542 | 0.1459 |
| Phillips-Perron t | −4.1550*** | 0.0000 |
| Augmented Dickey-Fuller t | −3.8366*** | 0.0001 |
Note: The statistical significance at 1%, 5%, 10% is denoted by ***, **, * respectively