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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