Pedroni Residual Cointegration Test |
|
| |||
Series: CRMS TNTM |
|
|
| ||
Date: 03/28/16 Time: 09:38 |
|
| |||
Sample: 1 144 |
|
|
| ||
Included observations: 144 |
|
| |||
Cross-sections included: 2 |
|
| |||
Null Hypothesis: No cointegration |
|
| |||
Trend assumption: No deterministic trend |
| ||||
User-specified lag length: 1 |
|
| |||
Newey-West automatic bandwidth selection and Bartlett kernel | |||||
Alternative hypothesis: common AR coefs. (within-dimension) | |||||
|
|
|
| Weighted |
|
|
| Statistic | Prob. | Statistic | Prob. |
Panel v-Statistic | −0.365461 | 0.6426 | −0.418007 | 0.6620 | |
Panel rho-Statistic | −3.700828 | 0.0001 | −6.521363 | 0.0000 | |
Panel PP-Statistic | −3.492341 | 0.0002 | −4.730073 | 0.0000 | |
Panel ADF-Statistic | −2.419155 | 0.0078 | −2.406358 | 0.0081 | |
Alternative hypothesis: individual AR coefs. (between-dimension) | |||||
|
| Statistic | Prob. |
|
|
Group rho-Statistic | −5.176859 | 0.0000 |
|
| |
Group PP-Statistic | −4.829458 | 0.0000 |
|
| |
Group ADF-Statistic | −2.511140 | 0.0060 |
|
| |
Cross section specific results |
|
| |||
Phillips-Peron results (non-parametric) |
| ||||
Cross ID | AR(1) | Variance | HAC | Bandwidth | Obs |
FFV | 0.393 | 7.683771 | 8.022699 | 3.00 | 71 |
JLX | 0.717 | 24.08377 | 18.07825 | 2.00 | 71 |
Augmented Dickey-Fuller results (parametric) |
| ||||
Cross ID | AR(1) | Variance | Lag | Max lag | Obs |
FFV | 0.553 | 7.190777 | 1 | - | 70 |
JLX | 0.741 | 21.85636 | 1 | - | 70 |