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Cross-sectional dependence (CD) Test of Pesaran (2004 and 2015).
| Test statistics | C | I | G | BOT | PUI |
|---|---|---|---|---|---|
| CD-test | 14.50*** | 39.31*** | 31.58*** | 29.21*** | 282.7*** |
| P | [0.000] | [0.000] | [0.000] | [0.000] | [0.000] |
| Absolute correlation | 0.201 | 0.222 | 0.226 | 0.227 | 0.638 |
The null hypothesis of cross-section independence. The probability values in [ ]
p < 0.01.
