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Table 3 Panel Bootstrap Cointegration Test

From: The ASEAN experience of the purchasing power parity theory

Statistic Value Z-value P-value Bootstrapped p-value
G τ −4.464 −8.164 0.0000 0.003
G α −26.554 −6.762 0.0000 0.003
P τ −14.398 −8.825 0.0000 0.013
P α −34.35 −13.109 0.0000 0.003
  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. The number of bootstraps to obtain bootstrap p-values, which are robust against cross-sectional dependences, is set to 400