Table 4 Cross-sectional dependence test and cross-sectionally augmented IPS unit root test.
Variable | Cross-sectional dependence (CD) | MW (Chi-sq) | CIPS (Zt-bar) | ||||
|---|---|---|---|---|---|---|---|
CD test | corr | abs(corr) | Without trend | With trend | Without trend | With trend | |
stockmr |  | . |  | 9170.985*** | 7942.563*** | −67.028*** | −67.001*** |
exrr | 1486.940*** | 1.000 | 1.000 | 1.8e + 04*** | 1.6e + 04*** | 69.312 | 69.350 |
ncovidtcr | 1486.940*** | 1.000 | 1.000 | 4015.534*** | 4093.193*** | 69.312 | 69.350 |
ncovidtdr | 1486.940*** | 1.000 | 1.000 | 8413.904*** | 7682.398*** | 69.312 | 69.350 |
wconvidtcr | 1486.940*** | 1.000 | 1.000 | 3183.429*** | 4632.313*** | 69.312 | 69.350 |
wcovidtdr | 1486.940*** | 1.000 | 1.000 | 2341.576*** | 3934.011*** | 69.312 | 69.350 |
stingindr | 1486.940*** | 1.000 | 1.000 | 325.768 | 213.212 | 69.312 | 69.350 |
Dstockmr |  | . |  | 2.1e + 04*** | 1.8e + 04*** | −67.243*** | −67.280*** |
Dexrr | 1480.170*** | 1.000 | 1.000 | 2.5e + 04*** | 2.0e + 04*** | 69.312 | 69.350 |
Dcovidtcr | 1480.170*** | 1.000 | 1.000 | 2.0e + 04*** | 1.7e + 04*** | 69.312 | 69.350 |
Dcovidtdr | 1480.170*** | 1.000 | 1.000 | 2.1e + 04*** | 1.8e + 04*** | 69.312 | 69.350 |
Dwcovidtcr | 1480.170*** | 1.000 | 1.000 | 2.0e + 04*** | 1.7e + 04*** | 69.312 | 69.350 |
Dwcovidtdr | 1480.170*** | 1.000 | 1.000 | 2.1e + 04*** | 1.8e + 04*** | 69.312 | 69.350 |