Table 4.
Pedroni and Kao cointegration Results.
| Alternative hypothesis: common AR coefficients (within-dimension) | |||||
|---|---|---|---|---|---|
| Statistic | Prob. | W. Statistic | Prob. | ||
| Panel v-Statistic | -1.133 | 0.871 | -1.059 | 0.855 | |
| Panel rho-Statistic | 0.472 | 0.318 | 0.245 | 0.597 | |
| Panel PP-Statistic | -3.468 | 0.000∗∗∗ | -3.126 | 0.000∗∗∗ | |
| Panel ADF-Statistic | -2.056 | 0.020∗∗ | -2.023 | 0.022∗∗∗ | |
| Alternative hypothesis: individual AR coefficient (between-dimension) | |||||
| Statistic | Prob. | ||||
| Group rho-Statistic | 1.401 | 0.919 | |||
| Group PP-Statistic | -2.662 | 0.004∗∗∗ | |||
| Group ADF-Statistic | -0.549 | 0.292 |
|||
|
Kao cointegration test | |||||
| t-Stat | Prob. | ||||
| ADF | -3.228∗∗ | 0.001 | |||
| Residual variance | 0.043 | ||||
| HAC variance | 0.0287 | ||||
Note the asterisk (∗∗∗,∗∗ and ∗) represents statistical rejection level of null of no co-integration test statistics at 1%,5% and 10% significance level.
Source: Authors computation