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Table 2 Panel Asymptotic Cointegration Test

From: The ASEAN experience of the purchasing power parity theory

Statistic Value Z-value P-value
G τ − 5.177 − 11.107 0.000
G α − 33.556 − 10.296 0.000
P τ −16.211 −11.100 0.000
P α −45.353 −19.270 0.000
  1. Note: All tests are implemented with the constant and trend in the test regression. For semi-parametric corrections, Newey and West (1987) developed the Bartlett kernel is employed. The lags and leads in the error-correction test are chosen according to the Akaike information criterion developed by Akaike (1973). All other bandwidth and lag orders are set according to the rule 4(T/100) 2/9 ≈ 1. The null hypothesis of the cointegration tests are no-cointegration. The p-values are for a one-sided test based on the normal distribution