Table 3.
Cross-sectional dependence analysis.
| Cross-Sectional Dependence (CD) Test | Cross-Sectional Dependence (Based on Residuals) | ||||
|---|---|---|---|---|---|
| Null hypothesis: cross-section are independent | Null hypothesis: errors of the cross-section are independent | ||||
| Variable | CD-stats | Variable | CD-stats | ||
| LCE | 7.326 * | LG | 15.423 * | Pesaran’s test | −2.596 * |
| (0.00) | (0.00) | (0.0094) | |||
| LEPC | 9.548 * | LG2 | 15.444 * | Friedman’s test | 12.756 ** |
| (0.00) | (0.00) | (0.0125) | |||
| LFB | 11.258 * | LHTE | 2.927 * | Frees’ test | 0.450 * |
| (0.00) | (0.003) | Critical values from Frees’ Q distribution | |||
| LFT | 9.621 * | LMC | 16.072 * | alpha = 0.10 | 0.0892 |
| (0.00) | (0.00) | alpha = 0.05 | 0.1160 | ||
| TRO | 8.159 * | alpha = 0.01 | 0.1660 | ||
| (0.00) | |||||
Note: () indicates the probability values; * and ** shows the 1 and 5% level of significance, respectively.