1. The Westerlund panel cointegration test (2007) results
|
Test
|
Value
|
Z-Value
|
P-Value
|
Robust P-Value
|
Gτ
|
2.919
|
−3.044
|
0.001
|
0.000
|
Gα
|
−15.849
|
−2.524
|
0.006
|
0.010
|
Pτ
|
−13.224
|
−4.139
|
0.000
|
0.000
|
Pα
|
−15.906
|
−5.086
|
0.000
|
0.000
|
2. Gengenbach et al. (2016) panel and individual country error correction test results
|
Country
|
αyi
|
T αyi a
| | |
Argentina
|
−0.522
|
−4.02**
| | |
Bolivia
|
−0.345
|
−3.234
| | |
Brazil
|
−0.417
|
−3.850***
| | |
Barbados
|
−0.283
|
−3.08
| | |
Chile
|
−0.207
|
−2.08
| | |
Colombia
|
−0.529
|
−4.702*
| | |
Costa Rica
|
−0.674
|
−5.266*
| | |
Dominican Republic
|
−0.437
|
−3.549***
| | |
Ecuador
|
−0.201
|
−1.919
| | |
El Salvador
|
−0.729
|
−4.439*
| | |
Gautemala
|
0.215
|
−2.319
| | |
Guyana
|
−0.484
|
−4.195**
| | |
Honduras
|
−0.429
|
−3.305
| | |
Mexico
|
−0.478
|
− 3.624***
| | |
Jamaica
|
−0.393
|
−4.383**
| | |
Nicaragua
|
−1.229
|
−5.201*
| | |
Paraguay
|
−0.240
|
−2.692
| | |
Peru
|
−0.374
|
−4.057**
| | |
Trinidad and Tobago
|
−0.398
|
−3.228
| | |
Uruguay
|
−0.735
|
−5.229*
| | |
Panel (ECT for Investment)
|
−0.466
|
−3.719*
| | |
LR Savings Retention Coefficient
|
0.240
|
2.54**
| | |
CD
|
−3.74 (0.000)b
|
RMSE =2.80
| | |
- αyi = the error-correction term for the ith country. Null hypothesis is no cointegration. The robust p-values are based on 200 bootstrap replications (with lags (1), leads (1), lrwindow (1). The results are robust with other orders of lags, leads and lrwindow and 400 bootstrap replications. αyi denotes the error-correction term
- a The lag length of 4, based on [4(T/100)2/9] (See Gengenbach et al. 2016). *, ** and *** denote statistical significance at the 1%, 5% and 10% levels of significance, respectively
- b The observed p-value in the parenthesis. Critical values are taken from Tables 1 and 3, with m = 1 and no deterministic term (Gengenbach et al. 2008)