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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