| Pedroni Residual Cointegration Test |
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| Series: CRMS TNTM |
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| Date: 03/28/16 Time: 09:38 |
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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 | −0.365461 | 0.6426 | −0.418007 | 0.6620 | |
| Panel rho-Statistic | −3.700828 | 0.0001 | −6.521363 | 0.0000 | |
| Panel PP-Statistic | −3.492341 | 0.0002 | −4.730073 | 0.0000 | |
| Panel ADF-Statistic | −2.419155 | 0.0078 | −2.406358 | 0.0081 | |
| Alternative hypothesis: individual AR coefs. (between-dimension) | |||||
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| Statistic | Prob. |
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| Group rho-Statistic | −5.176859 | 0.0000 |
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| Group PP-Statistic | −4.829458 | 0.0000 |
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| Group ADF-Statistic | −2.511140 | 0.0060 |
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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 | 0.393 | 7.683771 | 8.022699 | 3.00 | 71 |
| JLX | 0.717 | 24.08377 | 18.07825 | 2.00 | 71 |
| Augmented Dickey-Fuller results (parametric) |
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| Cross ID | AR(1) | Variance | Lag | Max lag | Obs |
| FFV | 0.553 | 7.190777 | 1 | - | 70 |
| JLX | 0.741 | 21.85636 | 1 | - | 70 |