Table 5.
Panel cointegration tests.
| LPI = f (HDI, LGFCF, LLF, LP, LUP, LTO) | ||
|---|---|---|
| Kao's residual cointegration test | ||
| Modified Dickey-Fuller t | 2.4548*** (0.0070) | |
| Dickey-Fuller t | 0.3885 (0.3488) | |
| Augmented Dickey-Fuller t | −3.1532*** (0.0008) | |
| Unadjusted modified Dickey-Fuller t | −6.9415*** (0.0000) | |
| Unadjusted Dickey-Fuller t | −7.0807*** (0.0000) | |
| Pedroni's test for cointegration | ||
| Tests | Constant | Constant and trend |
| Modified Phillips-Perron t | 7.6937*** (0.0000) | 8.3280*** (0.0000) |
| Phillips-Perron t | −10.9212*** (0.0000) | −15.1332*** (0.0000) |
| Augmented Dickey-Fuller t | −7.0541*** (0.0000) | −11.4302*** (0.0000) |
| Westerlund error-correction-based cointegration test | ||
| Tests | Constant | Constant and trend |
| Variance ratio | −0.2464 (0.4027) | 2.7190*** (0.0033) |
| LGDP = f (HDI, LPI, LUP, LTO) | ||
| Kao's residual cointegration test | ||
| Modified Dickey-Fuller t | 1.5132* (0.0651) | |
| Dickey-Fuller t | −1.1360 (0.1280) | |
| Augmented Dickey-Fuller t | 0.8625 (0.1942) | |
| Unadjusted modified Dickey-Fuller t | 0.3108*** (0.3780) | |
| Unadjusted Dickey-Fuller t | −2.1832** (0.0145) | |
| Pedroni's test for cointegration | ||
| Tests | Constant | Constant and trend |
| Modified Phillips-Perron t | 6.0670*** (0.0000) | 6.1619*** (0.0000) |
| Phillips-Perron t | −1.3368* (0.0906) | −4.4046*** (0.0000) |
| Augmented Dickey-Fuller t | −1.7747** (0.0380) | −6.2565*** (0.0000) |
| Westerlund error-correction-based cointegration test | ||
| Tests | Constant | Constant and trend |
| Variance ratio | 1.3909* (0.0821) | 1.5698* (0.0582) |
| LCEM = f (HDI, LPI, LUP, LTO) | ||
| Kao's residual cointegration test | ||
| Modified Dickey-Fuller t | 2.3904*** (0.0084) | |
| Dickey-Fuller t | 0.7676 (0.2214) | |
| Augmented Dickey-Fuller t | 2.5116*** (0.0060) | |
| Unadjusted modified Dickey-Fuller t | −1.0605 (0.1445) | |
| Unadjusted Dickey-Fuller t | −2.5234*** (0.0058) | |
| Pedroni's test for cointegration | ||
| Tests | Constant | Constant and trend |
| Modified Phillips-Perron t | 5.1017*** (0.0000) | 5.7931*** (0.0000) |
| Phillips-Perron t | −9.2441*** (0.0000) | −14.6687*** (0.0000) |
| Augmented Dickey-Fuller t | −9.4766*** (0.0000) | −13.1086*** (0.0000) |
| Westerlund error-correction-based cointegration test | ||
| Tests | Constant | Constant and trend |
| Variance ratio | −0.9811 (0.1633) | −0.2714 (0.3931) |
Notes: for Kao's test, the deterministic component is: constant. For Westerlund's test the Z-Values are reported. For all tests the P-Values are in parentheses. ***p < 0.01, **p < 0.05, *p < 0.10.