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 | −0.656990 | 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) | |||||
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| Statistic | Prob. |
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Group rho-Statistic | −1.673344 | 0.0471 |
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Group PP-Statistic | −2.968294 | 0.0015 |
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Group ADF-Statistic | −1.658974 | 0.0486 |
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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 | 0.668 | 1609.828 | 1311.410 | 3.00 | 71 |
JLX | 0.797 | 1716.095 | 1087.031 | 2.00 | 71 |
Augmented Dickey-Fuller results (parametric) |
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Cross ID | AR(1) | Variance | Lag | Max lag | Obs |
FFV | 0.791 | 1360.270 | 1 | - | 70 |
JLX | 0.799 | 1500.349 | 1 | - | 70 |