Table 4 Panel cointegration test
From: Is gold a safe haven for the dynamic risk of foreign exchange?
Method | Test statistics | P value | ||
|---|---|---|---|---|
Panel v-statistic | 0.607 | 0.271 | ||
Panel ρ-statistic | − 1.755 | 0.039 | ||
Panel PP-statistic | − 2.869 | 0.002 | ||
Panel ADF-statistic | − 2.643 | 0.004 | ||
Group ρ-statistic | 1.353 | 0.912 | ||
Group PP-statistic | − 2.313 | 0.010 | ||
Group ADF-statistic | − 1.999 | 0.022 | ||
Kao cointegration test | − 2.240 | 0.012 | ||
Johansen Fisher Panel | Hypothesized | None | 19.11 | 0.937 |
Cointegration Test trace Statistic | No. of CE(s) | At most 1 | 55.89 | 0.002 |
Johansen Fisher Panel | Hypothesized | None | 11.12 | 0.999 |
Cointegration Test max-eigenvalue Statistic | No. of C.E. (s) | At most 1 | 55.89 | 0.002 |