Table 2.
General diagnostic tests for cross-sectional dependence in panels (Pesaran, 2004).
| Variables | CD-Test | p-value | Average Joint T | Mean(r) | Mean abs(r) |
|---|---|---|---|---|---|
| ytmd | 162.32 | 0.000 | 64.00 | 0.60 | 0.61 |
| lcc | 252.61 | 0.000 | 64.00 | 0.94 | 0.94 |
| lvix | 268.68 | 0.000 | 64.00 | 1.00 | 1.00 |
| ustd | 268.68 | 0.000 | 64.00 | 1.00 | 1.00 |
Notes: Under the null hypothesis of cross-sectional independence, CD~N(0,1) and a p-value close to zero indicate data that are correlated across panel groups. CD means cross-sectional dependence statistic; ytmd denotes ytm divided by 100; lcc denotes log (cc); lvix denotes log (vix), and ustd denotes ust divided by 100.