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Financial Innovation

Table 3 Cointegration tests

From: Capital mobility in Latin American and Caribbean countries: new evidence from dynamic common correlated effects panel data modeling

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   
  1. 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
  2. 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
  3. 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)
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