Table 2.

Cross-sectional dependence test.

Variable	CD-test	p-value	corr	abs(corr)
log PM2.5	10.510	0.000	0.112	0.159
log COVID-19	86.330	0.000	0.920	0.920

Notes: Under the null hypothesis of cross-section independence CD ∼ N (0, 1).