» run a:\mt_coint.pgm ; ****** Money Demand Equations; 16 OECD Countries ****** ; The Conventional T test and OLS estimator The beta1 is: 0.6206 The t-ratio1 is: 7.2933 probabiltiy(t)= 0.0000 probability(N)= 0.0000 The beta2 is: -0.2486 The t-ratio2 is: -5.0487 probabiltiy(t)= 0.0000 probability(N)= 0.0000 R square is: 0.1515 Adjusted Rsquare is: 0.1462 THE ADJUSTED T RATIO AND VALUES The adjusted beta1 is: 0.5977 The adjusted t-ratio1 is: 3.0061 probabiltiy(t)= 0.0014 probability(N)= 0.0013 The adjusted beta2 is: -0.2713 The adjusted t-ratio2 is: -3.0718 probabiltiy(t)= 0.0012 probability(N)= 0.0011 The bias of beta 1 is: 0.4575 The bias of beta 2 is: 0.4548 R square is: 0.1515 Adjusted Rsquare is: 0.1448 ==================== The Panel Cointegration Test(Homogeneous) ==================== ******* Kao (1997) Panel Cointegration Test ******** ***************************************************** DF_Rho Test= 0.1838 Prob: 0.4271 DF_t_Rho Test= 0.8494 Prob: 0.1978 DF_Rho_Star Test= -4.3158 Prob: 0.0000 DF__Rho_Star Test= -1.1401 Prob: 0.1271 ======================================================================= ================== The ADF Panel Cointegration Test(Homogeneous) ================== ******* Kao (1997) ADF Panel Cointegration Test ******** ********************************************************* lags ADF test stat prob: AIC SC 1 -0.2981 0.3828 -5.8555 -5.8301 ==================== The Panel Cointegration Test(Homogeneous) ==================== ******* Pedroni (1995) Panel Cointegration Test ******** ***************************************************** rho_NT_minus_1= -0.1711 t_rho_NT= -104.0468 Prob: 0.0000 TN1_rho= -9.6787 Prob: 0.0000 TN2_rho= -9.4336 Prob: 0.0000 ======================================================================= ----------- The Pedroni (1999) Panel v Cointegration Test ----------- panel v statistics= 21.02159 standardized panel v statistics -5.02620 critical Probability= 0.00000 ----------------------------------------------------------------------- ----------- The Pedroni (1999) Panel Rho Cointegration Test ----------- panel rho statistics= -14.74200 standardized panel rho statistics 5.15394 critical Probability= 0.00000 ----------------------------------------------------------------------- ----------- The Pedroni (1999) Panel t Cointegration Test ----------- ----------- Nonparametric ----------- panel t statistics = -5.23100 standardized panel t statistics 6.45389 critical Probability= 0.00000 ----------------------------------------------------------------------- ----------- The Pedroni (1999) Panel t Cointegration Test ----------- ----------- Parametric ----------- panel t statistics= -92.72633 standardized panel t statistics -98.87811 critical Probability= 0.00000 ----------------------------------------------------------------------- ----------- The Pedroni (1999) Group Rho Cointegration Test ----------- group rho statistics = -18.18049 standardized group rho statistics 6.29070 critical Probability= 0.00000 ----------------------------------------------------------------------- ----------- The Pedroni (1999) Group t Cointegration Test ----------- ----------- Nonparametric ----------- Group t statistics = -5.78725 critical Probability= 0.00000 ----------------------------------------------------------------------- ----------- The Pedroni (1999) Panel t Cointegration Test ------------ ----------- Parametric ----------- group t statistics= -5.70345 standardized group t statistics 7.76468 critical Probability= 0.00000 ----------------------------------------------------------------------- The Fully-Modified Estimators The FM_beta1 is: 0.3257 The t-ratio1 is: 1.5559 probabiltiy(t)= 0.0604 probability(N)= 0.0599 The FM_beta2 is: 2.2856 The t-ratio2 is: 24.5832 probabiltiy(t)= 0.0000 probability(N)= 0.0000 R square is: -8.3119 Adjusted Rsquare is: -8.3705 ================ The Panel Cointegration Test ============================ *******McCoskey & Kao (1998) Panel Cointegration Test LM *********** ********************************************************* LM_plus Test= 180.9858 Prob: 0.0000 =========================================================================== »