Pedroni Residual Cointegration Test

Series: CRMS TNTM FREQ

Date: 03/28/16 Time: 09:39

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

0.329997

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)

Statistic

Prob.

Group rho-Statistic

−1.628294

0.0517

Group PP-Statistic

−1.868812

0.0308

Group ADF-Statistic

−0.142942

0.4432

Cross section specific results

Phillips-Peron results (non-parametric)

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)

Cross ID

AR(1)

Variance

Lag

Max lag

Obs

FFV

0.753

2.950890

1

-

70

JLX

0.775

7.874358

1

-

70