Pedroni Residual Cointegration Test |
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Series: LDFC FLTC |
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Date: 04/12/16 Time: 22:45 |
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Sample: 1 72 |
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Included observations: 144 |
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Cross-sections included: 2 |
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Null Hypothesis: no cointegration |
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Trend assumption: no deterministic trend |
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User-specified lag length: 1 |
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Newey-West automatic bandwidth selection and Bartlett kernel | |||||||||
Alternative hypothesis: common AR coefs (within-dimension) | |||||||||
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| Weighted |
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| Statistic | Prob. | Statistic | Prob. | ||||
Panel v-Statistic | 0.665149 | 0.2530 | 0.005479 | 0.4978 | |||||
Panel rho-Statistic | −7.921038 | 0.0000 | −7.947623 | 0.0000 | |||||
Panel PP-Statistic | −5.302679 | 0.0000 | −5.239487 | 0.0000 | |||||
Panel ADF-Statistic | −4.865236 | 0.0000 | −5.038563 | 0.0000 | |||||
Alternative hypothesis: individual AR coefs. (between-dimension) | |||||||||
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| Statistic | Prob. |
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Group rho-Statistic | −6.643452 | 0.0000 |
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Group PP-Statistic | −5.869738 | 0.0000 |
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Group ADF-Statistic | −4.994443 | 0.0000 |
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Cross section specific results |
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Phillips-Peron results (non-parametric) |
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Cross ID | AR (1) | Variance | HAC | Bandwidth | Obs | ||||
FFV | 0.439 | 26.91137 | 23.28485 | 3.00 | 71 | ||||
JLX | 0.421 | 64.96408 | 55.87042 | 4.00 | 71 | ||||
Augmented Dickey-Fuller results (parametric) |
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Cross ID | AR (1) | Variance | Lag | Max lag | Obs | ||||
FFV | 0.465 | 25.82550 | 1 | -- | 70 | ||||
JLX | 0.334 | 64.21142 | 1 | -- | 70 | ||||