Newey-West automatic bandwidth selection and Bartlett kernel

Alternative hypothesis: common AR coefs. (within-dimension)

Weighted

Statistic

Prob.

Statistic

Prob.

Panel v-Statistic

−0.656990

0.7444

−0.647101

0.7412

Panel rho-Statistic

−2.135402

0.0164

−2.523674

0.0058

Panel PP-Statistic

−2.749425

0.0030

−2.852830

0.0022

Panel ADF-Statistic

−1.925440

0.0271

−1.684803

0.0460

Alternative hypothesis: individual AR coefs. (between-dimension)

Statistic

Prob.

Group rho-Statistic

−1.673344

0.0471

Group PP-Statistic

−2.968294

0.0015

Group ADF-Statistic

−1.658974

0.0486

Cross section specific results

Phillips-Peron results (non-parametric)

Cross ID

AR(1)

Variance

HAC

Bandwidth

Obs

FFV

0.668

1609.828

1311.410

3.00

71

JLX

0.797

1716.095

1087.031

2.00

71

Augmented Dickey-Fuller results (parametric)

Cross ID

AR(1)

Variance

Lag

Max lag

Obs

FFV

0.791

1360.270

1

-

70

JLX

0.799

1500.349

1

-

70