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