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Table 4 Panel Asymptotic Cointegration Test (Excluding Indonesia And Brunei)

From: The ASEAN experience of the purchasing power parity theory

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