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Pedroni Residual Cointegration Test

Series: GDPG CGD TRADE PG INF FDI
Date: 09/12/18 Time: 08:01
Sample: 2000 2016
Included observations: 187
Cross-sections included: 11
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 -1.230357 0.8907 -1.107197 0.8659
Panel rho-Statistic 2.059610 0.9803 2.071138 0.9808
Panel PP-Statistic -2.967843 0.0015 -4.126847 0.0000
Panel ADF-Statistic 1.633014 0.9488 -0.140370 0.4442

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

Statistic Prob.
Group rho-Statistic 3.320607 0.9996
Group PP-Statistic -7.648222 0.0000
Group ADF-Statistic -0.990112 0.1611

Cross section specific results

Phillips-Peron results (non-parametric)

Cross ID AR(1) Variance HAC Bandwidth Obs

Bulgaria -0.035 5.763528 6.883827 2.00 16
Croatia 0.073 2.086233 0.649287 7.00 14
Romania -0.341 1.912368 1.655338 2.00 16
Slovenia 0.025 2.427627 1.041929 10.00 16
Czech Republic 0.048 3.108812 3.108812 0.00 16
Hungary -0.261 2.944856 0.524394 11.00 16
Poland -0.243 0.585246 0.400306 6.00 16
Slovak Republic -0.311 2.854327 0.344104 15.00 16
Estonia 0.462 13.71969 14.04165 2.00 16
Latvia 0.051 5.775336 2.046379 9.00 16
Lithuania -0.176 15.39606 15.34232 1.00 16

Augmented Dickey-Fuller results (parametric)

Cross ID AR(1) Variance Lag Max lag Obs

Bulgaria 0.220 5.542008 1 -- 15
Croatia -0.820 1.285061 1 -- 12
Romania -0.561 1.985516 1 -- 15
 Slovenia -0.399 1.983653 1 -- 15
Czech Republic 0.013 3.283528 1 -- 15
Hungary -0.720 2.678304 1 -- 15
Poland -0.531 0.466084 1 -- 15
Slovak Republic -0.808 2.426895 1 -- 15
Estonia 0.536 14.01542 1 -- 15
Latvia -0.357 5.061677 1 -- 15
Lithuania -0.185 16.41644 1 -- 15

Kao Residual Cointegration Test

Series: GDPG CGD TRADE PG INF FDI
Date: 09/12/18 Time: 08:02
Sample: 2000 2016
Included observations: 187
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
User-specified lag length: 1
Newey-West automatic bandwidth selection and Bartlett kernel

t-Statistic Prob.
ADF -5.151685 0.0000

Residual variance 11.91826

HAC variance 8.575877

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID)
Method: Least Squares
Date: 09/12/18 Time: 08:02
Sample (adjusted): 2002 2016
Included observations: 162 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID(-1) -0.714056 0.083305 -8.571612 0.0000

D(RESID(-1)) 0.215883 0.077075 2.800938 0.0057

R-squared 0.328690 Mean dependent var -0.048219

Adjusted R-squared 0.324495 S.D. dependent var 4.397449
S.E. of regression 3.614225 Akaike info criterion 5.419901
Sum squared resid 2090.020 Schwarz criterion 5.458019
Log likelihood -437.0120 Hannan-Quinn criter. 5.435378
Durbin-Watson stat 2.122816
gdpg cgd trade pg inf fdi

BALKAN

Pedroni Residual Cointegration Test

Series: GDPG CGD TRADE PG INF FDI
Date: 09/12/18 Time: 08:04
Sample: 2000 2016
Included observations: 68
Cross-sections included: 4
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 -0.508109 0.6943 -0.502377 0.6923
Panel rho-Statistic 0.792923 0.7861 0.964908 0.8327
Panel PP-Statistic -2.797695 0.0026 -3.139219 0.0008
Panel ADF-Statistic -0.040588 0.4838 -1.070825 0.1421

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

Statistic Prob.
Group rho-Statistic 1.911173 0.9720
Group PP-Statistic -3.079489 0.0010
Group ADF-Statistic -1.099045 0.1359

Kao Residual Cointegration Test

Series: GDPG CGD TRADE PG INF FDI
Date: 09/12/18 Time: 08:04
Sample: 2000 2016
Included observations: 68
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
User-specified lag length: 1
Newey-West automatic bandwidth selection and Bartlett kernel

t-Statistic Prob.
ADF -1.708465 0.0438

Residual variance 8.143893

HAC variance 6.617775

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID)
Method: Least Squares
Date: 09/12/18 Time: 08:04
Sample (adjusted): 2002 2016
Included observations: 57 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID(-1) -0.574033 0.158312 -3.625960 0.0006

D(RESID(-1)) -0.122189 0.139918 -0.873295 0.3863

R-squared 0.339128 Mean dependent var -0.022594

Adjusted R-squared 0.327112 S.D. dependent var 3.788045
S.E. of regression 3.107324 Akaike info criterion 5.139858
Sum squared resid 531.0503 Schwarz criterion 5.211544
Log likelihood -144.4860 Hannan-Quinn criter. 5.167718
Durbin-Watson stat 2.134442

BALTIK

Pedroni Residual Cointegration Test

Series: GDPG CGD TRADE PG INF FDI
Date: 09/12/18 Time: 08:06
Sample: 2000 2016
Included observations: 51
Cross-sections included: 3
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 -0.773929 0.7805 -0.991162 0.8392
Panel rho-Statistic 1.229989 0.8906 1.533723 0.9375
Panel PP-Statistic -0.863559 0.1939 -0.178765 0.4291
Panel ADF-Statistic 1.461752 0.9281 1.445627 0.9259

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

Statistic Prob.
Group rho-Statistic 2.069177 0.9807
Group PP-Statistic -0.624166 0.2663
Group ADF-Statistic 1.137958 0.8724

Cross section specific results

Phillips-Peron results (non-parametric)

Cross ID AR(1) Variance HAC Bandwidth Obs

Estonia 0.462 13.71969 14.04165 2.00 16
Latvia 0.051 5.775336 2.046379 9.00 16
Lithuania -0.176 15.39606 15.34232 1.00 16
Augmented Dickey-Fuller results (parametric)

Cross ID AR(1) Variance Lag Max lag Obs

Estonia 0.536 14.01542 1 -- 15
Latvia -0.357 5.061677 1 -- 15
Lithuania -0.185 16.41644 1 -- 15

Kao Residual Cointegration Test

Series: GDPG CGD TRADE PG INF FDI
Date: 09/12/18 Time: 08:06
Sample: 2000 2016
Included observations: 51
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
User-specified lag length: 1
Newey-West automatic bandwidth selection and Bartlett kernel

t-Statistic Prob.
ADF -3.492874 0.0002

Residual variance 19.81267

HAC variance 11.08990

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID)
Method: Least Squares
Date: 09/12/18 Time: 08:06
Sample (adjusted): 2002 2016
Included observations: 45 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID(-1) -0.856847 0.168064 -5.098354 0.0000

D(RESID(-1)) 0.229359 0.143110 1.602668 0.1163

R-squared 0.395897 Mean dependent var -0.186612

Adjusted R-squared 0.381848 S.D. dependent var 5.983393
S.E. of regression 4.704302 Akaike info criterion 5.978258
Sum squared resid 951.6095 Schwarz criterion 6.058554
Log likelihood -132.5108 Hannan-Quinn criter. 6.008192
Durbin-Watson stat 2.004907

Visegrad

gdpg cgd trade pg inf fdi

Pedroni Residual Cointegration Test
Series: GDPG CGD TRADE PG INF FDI
Date: 09/12/18 Time: 08:07
Sample: 2000 2016
Included observations: 68
Cross-sections included: 4
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 -0.381944 0.6487 -0.328192 0.6286
Panel rho-Statistic 1.050950 0.8534 0.981490 0.8368
Panel PP-Statistic -4.739787 0.0000 -4.621319 0.0000
Panel ADF-Statistic -1.332477 0.0914 -1.420175 0.0778

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

Statistic Prob.
Group rho-Statistic 1.803470 0.9643
Group PP-Statistic -9.063110 0.0000
Group ADF-Statistic -1.528372 0.0632

Cross section specific results

Phillips-Peron results (non-parametric)

Cross ID AR(1) Variance HAC Bandwidth Obs

Czech Republic 0.048 3.108812 3.108812 0.00 16
Hungary -0.261 2.944856 0.524394 11.00 16
Poland -0.243 0.585246 0.400306 6.00 16
Slovak Republic -0.311 2.854327 0.344104 15.00 16

Augmented Dickey-Fuller results (parametric)

Cross ID AR(1) Variance Lag Max lag Obs

Czech Republic 0.013 3.283528 1 -- 15
Hungary -0.720 2.678304 1 -- 15
Poland -0.531 0.466084 1 -- 15

Kao Residual Cointegration Test

Series: GDPG CGD TRADE PG INF FDI
Date: 09/12/18 Time: 08:07
Sample: 2000 2016
Included observations: 68
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
User-specified lag length: 1
Newey-West automatic bandwidth selection and Bartlett kernel

t-Statistic Prob.
ADF -3.438218 0.0003

Residual variance 5.588224

HAC variance 2.481919

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID)
Method: Least Squares
Date: 09/12/18 Time: 08:07
Sample (adjusted): 2002 2016
Included observations: 60 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RESID(-1) -0.952499 0.160781 -5.924215 0.0000

D(RESID(-1)) 0.102815 0.125133 0.821650 0.4146

R-squared 0.458372 Mean dependent var 0.041248

Adjusted R-squared 0.449033 S.D. dependent var 2.780553
S.E. of regression 2.063925 Akaike info criterion 4.319861
Sum squared resid 247.0676 Schwarz criterion 4.389673
Log likelihood -127.5958 Hannan-Quinn criter. 4.347168
Durbin-Watson stat 2.104881