Table 2.

The panel cross-sectional dependence tests

Test	Test statistics	P value
Breusch–Pagan LMa	362.445	0.000
Pesaran scaled LMb	63.434	0.000
Pesaran CDc	9.386	0.000

^aBreusch–Pagan LM denotes the most well-known Breusch–Pagan (1980) Lagrange Multiplier (LM) test

^bPesaran scaled LM denotes the correction test for large N of the Breusch–Pagan (1980) LM test

^cPesaran CD is the test to address the size distortion of Breusch–Pagan LM and Pesaran scaled LM tests