Pedroni Residual Cointegration Test |
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Series: CRMS TNTM FREQ |
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Date: 03/28/16 Time: 09:39 |
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Sample: 1 144 |
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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 | 0.329997 | 0.3707 | 0.174883 | 0.4306 | |
Panel rho-Statistic | −1.784240 | 0.0372 | −2.273219 | 0.0115 | |
Panel PP-Statistic | −1.662501 | 0.0482 | −1.970959 | 0.0244 | |
Panel ADF-Statistic | −0.561352 | 0.2873 | −0.482421 | 0.3148 | |
Alternative hypothesis: individual AR coefs. (between-dimension) | |||||
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| Statistic | Prob. |
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Group rho-Statistic | −1.628294 | 0.0517 |
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Group PP-Statistic | −1.868812 | 0.0308 |
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Group ADF-Statistic | −0.142942 | 0.4432 |
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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 | 0.640 | 3.164612 | 3.055657 | 3.00 | 71 |
JLX | 0.732 | 7.976562 | 7.022401 | 1.00 | 71 |
Augmented Dickey-Fuller results (parametric) |
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Cross ID | AR(1) | Variance | Lag | Max lag | Obs |
FFV | 0.753 | 2.950890 | 1 | - | 70 |
JLX | 0.775 | 7.874358 | 1 | - | 70 |