Table 4.
Pedroni’s and Kao cointegration test results.
| Pedroni’s Test | Panel EU 27 Countries | Panel EU 15 Countries | Panel EU 12 Countries | |||
| Equation (1) | Equation (2) | Equation (1) | Equation (2) | Equation (1) | Equation (2) | |
| Mod. Phillips Perron t | 6.6527 *** | 6.6938 *** | 5.2964 *** | 5.3117 *** | 4.4489 *** | 4.4807 *** |
| Phillips Perron tt | −7.9001 *** | −7.1108 *** | −8.1219 *** | −8.1236 *** | −5.4209 *** | −4.3485 *** |
| Aug Phillips Perron t | −6.3086 *** | −5.7236 *** | −4.5552 *** | −4.4756 *** | −4.3701 *** | −3.5815 *** |
| Equation (3) | Equation (4) | Equation (3) | Equation (4) | Equation (3) | Equation (4) | |
| Mod. Phillips Perron t | 7.1765 *** | −7.0877 *** | 5.5036 *** | 5.1923 *** | 4.9666 *** | 4.8758 *** |
| Phillips Perron tt | −10.6922 *** | −15.709 *** | −7.0111 *** | −10.943 *** | −9.1800 *** | −13.4892 *** |
| Aug Phillips Perron t | −6.1829 *** | −8.1480 *** | −3.8430 *** | −6.2365 *** | −4.9779 *** | −5.2494 *** |
| Kao Test | Panel EU 27 Countries | Panel EU 15 Countries | Panel EU 12 Countries | |||
| Equation (1) | Equation (2) | Equation (1) | Equation (2) | Equation (1) | Equation (2) | |
| Mod.Dickey Fuller t | 1.0005 | 1.0379 | 0.1485 | −0.5267 | 0.1432 | 0.6231 |
| Dickey Fuller t | 0.039 | 0.0043 | −1.5926 ** | −2.5184 *** | −0.3511 | 0.2918 |
| Aug Dickey Fuller t | 2.1531 ** | 2.229 ** | 0.7408 | 0.7337 | 1.3666 * | 1.5287 * |
| Equation (3) | Equation (4) | Equation (3) | Equation (4) | Equation (3) | Equation (4) | |
| Mod.Dickey Fuller t | 2.1318 ** | −1.9748 ** | 0.9705 | 0.2954 | 1.2293 * | −2.9982 *** |
| Dickey Fuller t | 1.5853 ** | −4.3673 *** | −0.1616 | −1.8037 ** | 0.9906 | −3.8259 *** |
| Aug Dickey Fullert | 1.7641 ** | −4.8482 *** | 0.6989 | −2.0112 ** | 0.6286 | −4.0194 *** |
Notes: *, **, *** represents statistically significant at 10%, 5% and 1%, respectively.