Pedroni Residual Cointegration Test

Series: LDFC FLTC

Date: 04/12/16 Time: 22:45

Sample: 1 72

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

0.665149

0.2530

0.005479

0.4978

Panel rho-Statistic

−7.921038

0.0000

−7.947623

0.0000

Panel PP-Statistic

−5.302679

0.0000

−5.239487

0.0000

Panel ADF-Statistic

−4.865236

0.0000

−5.038563

0.0000

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

Statistic

Prob.

Group rho-Statistic

−6.643452

0.0000

Group PP-Statistic

−5.869738

0.0000

Group ADF-Statistic

−4.994443

0.0000

Cross section specific results

Phillips-Peron results (non-parametric)

Cross ID

AR (1)

Variance

HAC

Bandwidth

Obs

FFV

0.439

26.91137

23.28485

3.00

71

JLX

0.421

64.96408

55.87042

4.00

71

Augmented Dickey-Fuller results (parametric)

Cross ID

AR (1)

Variance

Lag

Max lag

Obs

FFV

0.465

25.82550

1

--

70

JLX

0.334

64.21142

1

--

70