Table 4.

The results of Kao and Pedroni cointegration tests

Kao test	Statistic	p-value	Pedroni test	Statistic	p-value
Modified Dickey-Fuller t	-3.2884	0.0005	Modified Phillips-Perron	3.0838	0.0010
Dickey-Fuller t	-4.8458	<0.05	Phillips-Perron t	-1.9114	0.0280
Augmented Dickey-Fuller t	-2.3962	0.0083	Augmented Dickey-Fuller t	-5.7743	<0.05
Unadjusted modified Dickey-Fuller t	-3.9058	<0.05
Unadjusted Dickey-Fuller t	-5.0549	<0.05

Source: own computations in Stata 15