Table 3.
Panel cross-section dependence tests.
| Test | LPI | LGDP | LCEM | HDI | LGFCF | LLF | LP | LUP | LTO |
|---|---|---|---|---|---|---|---|---|---|
| a. Pesaran (2021) | 4.792*** (0.0000) | 37.709*** (0.0000) | 10.195*** (0.0000) | 10.564*** (0.0000) | 26.346*** (0.0000) | 9.385*** (0.0000) | 10.935*** (0.0000) | 11.319*** (0.0000) | 30.811*** (0.0000) |
| b. Friedman (1937) | 28.279 (0.2485) | 95.644*** (0.0000) | 33.332* (0.0973) | 50.935*** (0.0011) | 81.384*** (0.0000) | 46.248*** (0.0041) | 47.513*** (0.0029) | 64.499*** (0.0000) | 85.390*** (0.0000) |
| c. Frees (1995) | 1.797*** (0.3429) | 3.526*** (0.3429) | 0.979*** (0.3429) | 0.796*** (0.3429) | 2.467*** (0.3429) | 0.390** (0.3429) | 1.098*** (0.3429) | 4.094*** (0.3429) | 3.720*** (0.3429) |
| d. Chudik and Pesaran (2015) | 0.6629 (0.5074) | 29.1248*** (0.0000) | −1.6582* (0.0973) | 7.0319*** (0.0000) | 1.1558 (0.2477) | −0.9271 (0.3539) | −0.9484 (0.3429) | −0.4828 (0.6292) | 4.2757*** (0.0000) |
| e. Pesaran (2021) CD | 4.2453*** (0.0000) | 43.9485*** (0.0000) | 12.0055*** (0.0000) | 56.0180*** (0.0000) | 24.4174*** (0.0000) | 36.3851*** (0.0000) | 15.0958*** (0.0000) | 38.4903*** (0.0000) | 19.5669*** (0.0000) |
| f. Breusch and Pagan (1980) | 777.4648*** (0.0000) | 2461.087*** (0.0000) | 1470.005*** (0.0000) | 3147.431*** (0.0000) | 1470.389*** (0.0000) | 2322.808*** (0.0000) | 949.6058*** (0.0000) | 2203.866*** (0.0000) | 1143.517*** (0.0000) |
| g. Pesaran (2021) LM | 19.4924*** (0.0000) | 88.2260*** (0.0000) | 47.7653*** (0.0000) | 116.2459*** (0.0000) | 47.7809*** (0.0000) | 82.5808*** (0.0000) | 26.5200*** (0.0000) | 86.7266*** (0.0000) | 34.4364*** (0.0000) |
| h. Baltagi et al. (2012) | 18.3561*** (0.0000) | 87.0896*** (0.0000) | 46.6289*** (0.0000) | 115.1095*** (0.0000) | 46.6446*** (0.0000) | 81.4444*** (0.0000) | 25.3837*** (0.0000) | 85.6811*** (0.0000) | 33.3001*** (0.0000) |
***p < 0.01, **p < 0.05, *p < 0.10.
Sources: our calculations.
Notes.
a
Pesaran (2021). General Diagnostic Tests for Cross. Section Dependence in Panels.
b
Friedman (1937) test for cross-sectional dependence by using Friedman's χb distributed statistic.
c
Frees (1995) test for cross-sectional dependence by using Critical Values from Frees' Q distribution (T-asymptotically distributed).
d
Chudik and Pesaran (2015) test for weak cross sectional dependence.
e
Pesaran (2004) CD test for cross-section dependence in panel time-series data.
f
Breusch and Pagan (1980) LM test of independence.
g
Pesaran (2004) scaled LM test.
h
Baltagi et al. (2012) bias-corrected scaled LM test.