Table 3.

Kao and Pedroni Cointegration test results.

Kao Cointegration test
	t-Statistic	Probability
ADF	-2.528976	0.0057∗∗∗
Residual variance	0.001851
HAC variance	0.002189
Pedroni residual cointegration test
Alternative hypothesis: common AR coefs. (within-dimension)
	t-Statistic	Probability	Weighted Statistic	Probability
Panel v-Statistic	-0.763492	0.7774	1.705610	0.0440∗∗
Panel rho-Statistic	1.551318	0.9396	2.382671	0.9914
Panel PP-Statistic	-1.930130	0.0268∗∗	-0.523231	0.3004
Panel ADF-Statistic	-1.985946	0.0235∗∗	-0.285751	0.3875
Alternative hypothesis: individual AR coefs. (between-dimension)
Group rho-Statistic	3.338639	0.9996
Group PP-Statistic	-2.390380	0.0084∗∗∗
Group ADF-Statistic	-0.958558	0.1689

Note: ∗, ∗∗, ∗∗∗ denote 10%, 5% and 1% significance level respectively.