Statistic | Value | Z-value | P-value |
|---|
G
Ï„
| − 5.177 | − 11.107 | 0.000 |
G
α
| − 33.556 | − 10.296 | 0.000 |
P
Ï„
| −16.211 | −11.100 | 0.000 |
P
α
| −45.353 | −19.270 | 0.000 |
- 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
