Table 3.
Westerlund cointegration test results
| Test statistic | Model (1) | Model (2) | Model (3) | |||
|---|---|---|---|---|---|---|
| Value | p value | Value | p value | Value | p value | |
| Gt | − 3.101*** | 0.000 | − 3.286*** | 0.000 | − 2.714* | 0.100 |
| Ga | − 4.645*** | 0.000 | − 4.883*** | 0.000 | − 5.019*** | 0.000 |
| Pt | − 6.145 | 0.200 | − 7.836*** | 0.000 | − 5.664* | 0.100 |
| Pa | − 5.111* | 0.100 | − 4.660* | 0.100 | − 2.975 | 0.300 |
The bootstrapping regression is conducted with 100 replications. The optimal lag selection is based on AIC
***, *Statistical significance at 1% and 10% levels, respectively