Pedroni Residual Cointegration Test | |||||
Series: LOGGDP? LOGL? LOGK? | |||||
Date: 05/18/14 Time: 00:22 | |||||
Sample: 2002 2012 | |||||
Included observations: 11 | |||||
Cross-sections included: 10 | |||||
Null Hypothesis: No cointegration | |||||
Trend assumption: No deterministic trend | |||||
Lag selection: fixed at 1 | |||||
Newey-West bandwidth selection with Bartlett kernel | |||||
Alternative hypothesis: common AR coefs. (within-dimension) | |||||
Weighted | |||||
Statistic | Prob. | Statistic | Prob. | ||
Panel v-Statistic | -0.076452 | 0.3978 | 0.216283 | 0.3897 | |
Panel rho-Statistic | 0.706410 | 0.3108 | 0.998111 | 0.2424 | |
Panel PP-Statistic | -1.819365 | 0.0762 | -1.316563 | 0.1677 | |
Panel ADF-Statistic | -1.904892 | 0.0650 | -2.806889 | 0.0078 | |
Alternative hypothesis: individual AR coefs. (between-dimension) | |||||
Statistic | Prob. | ||||
Group rho-Statistic | 2.567793 | 0.0148 | |||
Group PP-Statistic | -1.240763 | 0.1848 | |||
Group ADF-Statistic | -3.110830 | 0.0032 | |||
Cross section specific results | |||||
Phillips-Peron results (non-parametric) | |||||
Cross ID | AR(1) | Variance | HAC | Bandwidth | Obs |
XA | 0.294 | 0.002791 | 0.002791 | 0.00 | 10 |
TCH | -0.219 | 0.043895 | 0.025293 | 3.00 | 10 |
BJ | 0.320 | 0.002910 | 0.002025 | 3.00 | 10 |
WN | 0.083 | 0.003261 | 0.000853 | 6.00 | 10 |
XY | 0.439 | 0.005621 | 0.004087 | 3.00 | 10 |
YA | 0.557 | 0.031029 | 0.032501 | 2.00 | 10 |
HZH | 0.469 | 0.005980 | 0.007274 | 1.00 | 10 |
YL | -0.111 | 0.009631 | 0.001723 | 9.00 | 10 |
AK | 0.328 | 0.007566 | 0.007566 | 0.00 | 10 |
SHL | 0.135 | 0.008480 | 0.008480 | 0.00 | 10 |
Augmented Dickey-Fuller results (parametric) | |||||
Cross ID | AR(1) | Variance | Lag | Max lag | Obs |
XA | 0.122 | 0.002938 | 1 | -- | 9 |
TCH | -0.402 | 0.047124 | 1 | -- | 9 |
BJ | -0.007 | 0.002526 | 1 | -- | 9 |
WN | -0.439 | 0.002339 | 1 | -- | 9 |
XY | -0.015 | 0.002683 | 1 | -- | 9 |
YA | 0.288 | 0.023683 | 1 | -- | 9 |
HZH | 0.023 | 0.002589 | 1 | -- | 9 |
YL | -0.675 | 0.006018 | 1 | -- | 9 |
AK | 0.038 | 0.006791 | 1 | -- | 9 |
SHL | 0.053 | 0.009321 | 1 | -- | 9 |


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