Test | Statistics | Model 1 | Model 2 | Model 3 | Model 4 |
---|---|---|---|---|---|
Pedroni cointegration test | Modified Phillips–Perron t | 2.395*** (0.008) | 3.013*** (0.001) | 2.354*** (0.009) | 2.796*** (0.003) |
 | Phillips–Perron t |  − 1.884** (0.030) |  − 1.084 (0.139) |  − 1.564* (0.059) |  − 1.131 (0.1291) |
 | Augmented Dickey–Fuller t |  − 0.340 (0.367) | 0.834 (0.202) | 0.0014 (0.500) | 0.739 (0.300) |
Kao cointegration test | Modified Dickey–Fuller t |  − 4.484*** (0.000) |  − 4.668*** (0.000) |  − 5.581*** (0.000) |  − 4.287*** (0.000) |
 | Dickey–Fuller t |  − 3.215*** (0.001) |  − 3.240*** (0.001) |  − 4.051*** (0.000) |  − 3.306*** (0.001) |
 | Augmented Dickey–Fuller t |  − 1.896** (0.029) |  − 2.194** (0.014) |  − 2.377*** (0.009) |  − 2.069 *** (0.019) |
 | Unadjusted modified Dickey–Fuller t |  − 4.229*** (0.000) |  − 4.308*** (0.000) |  − 5.122*** (0.000) |  − 3.765*** (0.000) |
 | Unadjusted Dickey–Fuller t |  − 3.133*** (0.001) |  − 3.127*** (0.000) |  − 3.926 *** (0.000) |  − 3.137*** (0.001) |