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Table 2 Results of cross-sectional dependence tests for the panel unit root test equations

From: Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

Variables

Test statistics

LM test

CDLM test

CD test

SPI

18,678.020 (0.000)*

1618.924 (0.000)*

125.709 (0.000)*

IPI

13,546.880 (0.000)*

1172.315 (0.000)*

109.400 (0.000)*

SPI−

28,502.880 (0.000)*

2474.068 (0.000)*

168.797 (0.000)*

IPI−

28,245.440 (0.000)*

2451.661 (0.000)*

168.014 (0.000)*

SPI+

28,660.200 (0.000)*

2487.761 (0.000)*

169.270 (0.000)*

IPI+

28,337.860 (0.000)*

2459.705 (0.000)*

168.297 (0.000)*

  1. The numbers in the parentheses show the p values
  2. *The significance at the 1% level