OIP GDPG INF RIR PENZIJA DCPS INDEX

Pedroni Residual Cointegration Test

Series: OIP GDPG INF RIR PENZIJA DCPS INDEX 
Date: 02/05/22 Time: 21:47
Sample: 2010 2020
Included observations: 121
Cross-sections included: 5 (6 dropped)
Null Hypothesis: No cointegration
Trend assumption: No deterministic intercept or trend 
Use d.f. corrected Dickey-Fuller residual variances
Automatic lag length selection based on SIC with a max lag of 0
Newey-West automatic bandwidth selection and Bartlett kernel

Alternative hypothesis: common AR coefs. (within-dimension)

Weighted
Statistic Prob. Statistic Prob.
Panel v-Statistic -2.412939  0.9921 -3.094651  0.9990
Panel rho-Statistic  2.215275  0.9866  1.946921  0.9742
Panel PP-Statistic -5.037671  0.0000 -6.221627  0.0000
Panel ADF-Statistic -2.072312  0.0191 -3.145923  0.0008

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

Statistic Prob.
Group rho-Statistic  3.352360  0.9996
Group PP-Statistic -2.932478  0.0017
Group ADF-Statistic -0.702795  0.2411

Cross section specific results

Kao Residual Cointegration Test

Series: OIP GDPG INF RIR PENZIJA DCPS INDEX 
Date: 02/05/22 Time: 21:48
Sample: 2010 2020
Included observations: 121
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
Automatic lag length selection based on SIC with a max lag of 0
Newey-West automatic bandwidth selection and Bartlett kernel

t-Statistic Prob.
ADF -2.365602  0.0090

Residual variance  4.389565

HAC variance  4.032693
SMC GDPG INF RIR PENZIJA DCPS INDEX

Pedroni Residual Cointegration Test

Series: SMC GDPG INF RIR PENZIJA DCPS INDEX 
Date: 02/05/22 Time: 21:41
Sample: 2010 2020
Included observations: 121
Cross-sections included: 8 (3 dropped)
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
Automatic lag length selection based on SIC with a max lag of 0
Newey-West automatic bandwidth selection and Bartlett kernel

Alternative hypothesis: common AR coefs. (within-dimension)

Weighted
Statistic Prob. Statistic Prob.
Panel v-Statistic -2.549528  0.9946 -2.491498  0.9936
Panel rho-Statistic  3.798122  0.9999  3.243546  0.9994
Panel PP-Statistic -7.568653  0.0000 -11.39489  0.0000
Panel ADF-Statistic -1.907196  0.0282 -4.617951  0.0000

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

Statistic Prob.
Group rho-Statistic  4.125806  1.0000
Group PP-Statistic -14.81582  0.0000
Group ADF-Statistic -8.621459  0.0000

Cross section specific results

Kao Residual Cointegration Test
Series: SMC GDPG INF RIR PENZIJA DCPS INDEX 
Date: 02/05/22 Time: 21:43
Sample: 2010 2020
Included observations: 121
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
Automatic lag length selection based on SIC with a max lag of 1
Newey-West automatic bandwidth selection and Bartlett kernel

ADF

Residual variance
HAC variance

Dependent Variable: OIP

Method: Panel Fully Modified Least Squares (FMOLS)
Date: 02/05/22 Time: 21:58
Sample (adjusted): 2011 2019
Periods included: 9
Cross-sections included: 10
Total panel (unbalanced) observations: 77
Panel method: Grouped estimation
Long-run covariance estimates (Bartlett kernel, Newey-West fixed
        bandwidth)
Warning: one more more cross-sections have been dropped due to
        estimation errors

Variable Coefficient Std. Error t-Statistic Prob.  

GDPG -0.521833 0.136108 -3.833946 0.0003

INF 0.197811 0.094877 2.084917 0.0407
RIR 0.347755 0.103913 3.346617 0.0013
PENZIJA 3.055224 0.808412 3.779291 0.0003
DCPS -0.056776 0.045298 -1.253382 0.2142
INDEX 0.209816 0.046393 4.522542 0.0000

R-squared -17.119761    Mean dependent var 8.836070

Adjusted R-squared -18.395800    S.D. dependent var 8.459872
S.E. of regression 37.25784    Sum squared resid 98558.41
Long-run variance 0.195311

Dependent Variable: OIP

Method: Panel Dynamic Least Squares (DOLS)
Date: 02/05/22 Time: 21:59
Sample (adjusted): 2010 2019
Periods included: 10
Cross-sections included: 10
Total panel (unbalanced) observations: 88
Panel method: Grouped estimation
Static OLS leads and lags specification
Long-run variances (Bartlett kernel, Newey-West fixed bandwidth) used for
        individual coefficient covariances
Warning: one more more cross-sections have been dropped due to
        estimation errors

Variable Coefficient Std. Error t-Statistic Prob.  

GDPG -0.474703 0.256822 -1.848371 0.0682

INF 0.152133 0.178077 0.854309 0.3954
RIR -0.037140 0.378833 -0.098038 0.9221
PENZIJA 2.854108 0.722095 3.952538 0.0002
DCPS -0.088247 0.122544 -0.720127 0.4735
INDEX 0.237393 0.109858 2.160912 0.0336

R-squared -13.345341    Mean dependent var 8.904820

Adjusted R-squared -14.220056    S.D. dependent var 8.571323
S.E. of regression 33.43921    Sum squared resid 91690.83
Long-run variance 0.803872
Dependent Variable: SMC
Method: Panel Fully Modified Least Squares (FMOLS)
Date: 02/05/22 Time: 22:00
Sample (adjusted): 2011 2020
Periods included: 10
Cross-sections included: 11
Total panel (unbalanced) observations: 94
Panel method: Pooled estimation
First-stage residuals use heterogeneous long-run coefficients
Coefficient covariance computed using default method
Long-run covariance estimates (Bartlett kernel, Newey-West fixed
        bandwidth)

Variable Coefficient Std. Error t-Statistic Prob.  

GDPG 0.307063 0.068270 4.497795 0.0000

INF -0.143886 0.094559 -1.521643 0.1317
RIR -0.023732 0.033875 -0.700574 0.4854
PENZIJA 1.202627 0.034971 34.38931 0.0000
DCPS 0.000403 0.013817 0.029201 0.9768
INDEX 0.101905 0.010346 9.849515 0.0000

R-squared 0.115799    Mean dependent var 17.71872

Adjusted R-squared 0.065560    S.D. dependent var 15.58505
S.E. of regression 15.06551    Sum squared resid 19973.33
Long-run variance 2.097933
Dependent Variable: SMC
Method: Panel Dynamic Least Squares (DOLS)
Date: 02/05/22 Time: 22:02
Sample: 2010 2020
Periods included: 11
Cross-sections included: 11
Total panel (unbalanced) observations: 107
Panel method: Weighted estimation
Static OLS leads and lags specification
Long-run variance weights (Prewhitening with lags = 1, Bartlett kernel,
        Newey-West fixed bandwidth)

Variable Coefficient Std. Error t-Statistic Prob.  

GDPG -0.341417 0.248839 -1.372042 0.1731

INF -0.040917 0.515539 -0.079367 0.9369
RIR 0.243637 0.191645 1.271296 0.2065
PENZIJA 1.313052 0.198010 6.631242 0.0000
DCPS 0.052187 0.040509 1.288279 0.2006
INDEX 0.047425 0.039000 1.216010 0.2268

R-squared 0.115182    Mean dependent var 17.91484

Adjusted R-squared 0.071379    S.D. dependent var 15.51860
S.E. of regression 14.95450    Sum squared resid 22587.34
Long-run variance 3529.228