Table 8 Panel cointegration test
Models | Values | Westerlund [98] tests for only target variables | Banerjee and Carrion-i-Silvestre [104] –for all variables in the model | Critical values | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Gt | Ga | Pt | Pa | Levels Statistic | 10% | 5% | 1% | ||||||
Model1A | Z-value | -34.004*** (0.000) | -1.463* (0.072) | -74.878*** (0.000) | -34.439*** (0.000) | -4.062*** | -2.03 | -2.11 | -2.25 | ||||
Bootstrap P-value | 0.000*** | 0.000*** | 0.000*** | 0.000*** | |||||||||
Model 1B | Z-value | -34.708*** (0.000) | -4.303*** (0.000) | -52.636*** (0.000) | -37.899*** (0.000) | -4.212*** | |||||||
Bootstrap P-value | 0.000*** | 0.000*** | 0.000*** | 0.000*** | |||||||||
Model 1C | Z-value | 6.958 (1.000) | 7.497 (1.000) | 3.508 (1.000) | 4.582 (1.000) | -2.907*** | |||||||
Bootstrap P-value | 0.990 | 0.990 | 0.440 | 0.380 | |||||||||
Further cointegration tests ( Model 1C) | Â | ||||||||||||
DOLS residuals | Included variables | Unit root test | Statistic | p-value | Â | Â | Â | ||||||
between target variables | IPS | t-bar | -1.5321 | 0.9509 | -1.82 | -1.73 | -1.69 | ||||||
t-tilde-bar | -1.1501 | ||||||||||||
Z-t-tilde-bar | 1.6541 | ||||||||||||
All variables in the model | IPS | t-bar | -1.2116 | 0.9984 | |||||||||
t-tilde-bar | -0.9728 | ||||||||||||
Z-t-tilde-bar | 2.9494 | ||||||||||||
Pedroni [109] cointegrtaion test (Model 1D) | |||||||||||||
Test | Statistics | p-value | |||||||||||
Within-dimension | Modified variance ratio | -8.1614*** | 0.0000 | ||||||||||
Modified Phillips-Perron t | 2.7529*** | 0.0030 | |||||||||||
Phillips-Perron t | -6.0649*** | 0.0000 | |||||||||||
Augmented Dickey-Fuller t | -5.0621*** | 0.0000 | |||||||||||
Between-dimension | Modified Phillips-Perron t | 5.9229*** | 0.0000 | ||||||||||
Phillips-Perron t | -2.2026** | 0.0138 | |||||||||||
Augmented Dickey-Fuller t | -2.0690** | 0.0193 | |||||||||||