Statistic | Value | Z-value | P-value |
|---|
G
Ï„
| −5.305 | −10.386 | 0.000 |
G
α
| −20.385 | −3.609 | 0.000 |
P
Ï„
| −1.712 | 4.967 | 1.000 |
P
α
| −14.504 | −2.628 | 0.004 |
- 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
