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| Test statistics | NCPM | NDPM | GPR |
|---|---|---|---|
| Cross-sectional dependence test statistics | 11.92*** [0.00] | 12.15*** [0.00] | 5.024*** [0.00] |
| Scaled Lagrange multiplier test statistics | 17.69*** [0.00] | 21.52*** [0.00] | 4.874*** [0.00] |
Null hypothesis: Series are not cross-sectionally dependent.
p < 0.01, and the p-values are in brackets.
