No announcement yet.
  • Filter
  • Time
  • Show
Clear All
new posts

  • xtpedroni results and normal distribution


    I run my xtpedroni command to test the cointegration between the variables , please could you help me to calculate the p-value of the tests in STATA

    I want to understand how I can calculate the p-value of normal distribution in STATA
    and about the pedroni test ( is it one tail or two tail?)

    Pedroni's cointegration tests:

    No. of Panel units: 13 Regressors: 4

    No. of obs.: 374 Avg obs. per unit: 29

    Data has been time-demeaned.

    A time trend has been included.


    Test Stats. | Panel Group


    v | -1.017 .

    rho | -1.69 -.2211

    t | -5.513 -5.126

    adf | -3.427 -1.528


    All test statistics are distributed N(0,1), under a null of no cointegration,

    and diverge to negative infinity (save for panel v).