Table 3.
Pedroni and Kao Results for Cointegration.
| Alternative hypothesis: common AR coefficients (within-dimension) | ||||
|---|---|---|---|---|
| Statistic | P-Value | Weithed statistic | P-value | |
| Panel v-Statistic | 0.427 | 0.335 | -1.527 | 0.937 |
| Panel rho-Statistic | 0.377 | 0.647 | -0.006 | 0.498 |
| Panel PP-Statistic | -3.295*** | 0.001 | -5.146*** | 0.000 |
| Panel ADF-Statistic | -3.246*** | 0.001 | -5.798*** | 0.000 |
| Alternative hypothesis: individual AR coefficients (between-dimension) | ||||
| Statistic | P-value | |||
| Panel Rho-Statistic | 2.012 | 0.978 | ||
| Panel PP-Statitic | -3.874*** | 0.000 | ||
| Panel ADF-Statistic | -3.839*** | 0.000 | ||
| KAO- ADF | -2.116** | 0.017 | ||
Of the seven tests, the panel v-statistic is a one-sided test where large positive values reject the null hypothesis of no cointegration whereas large negative values for the remaining test statistics reject the null hypothesis of no cointegration. Under the null hypothesis, all the statistics are distributed as normal. The finite sample distribution for the seven statistics has been tabulated in Pedroni (2004). ***: Rejection of the null hypothesis at the 1% significance level. Residual variance for KAO was 0.001 and HAC variance was reported as 0.000.