Hello!!
I am doing a panel cointegration analysis and implement pedroni's panel cointegration tests.
I have a question regarding my results. Only the panel v-statistic rejects the null hypothesis of no cointegration.
Pedroni(2004) says:
"if the panel is fairly large so that size distortion is less
of an issue, then the panel-v statistic tends to have the best power relative to
the other statistics and can be most useful"
My question is,since I have 41 T and 64 N, do I have a large sample size?
Thanks
PS. The results are provided below.
Pedroni Residual Cointegration Test
Date: 08/27/15 Time: 16:09
Sample: 1970 2010
Included observations: 2624
Cross-sections included: 64
Null Hypothesis: No cointegration
Trend assumption: Deterministic intercept and trend
Automatic lag length selection based on AIC with a max lag of 9
Newey-West automatic bandwidth selection and Bartlett kernel
Alternative hypothesis: common AR coefs. (within-dimension)
Weighted
Statistic Prob. Statistic Prob.
Panel v-Statistic 2.268144 0.0117 7.152821 0.0000
Panel rho-Statistic 4.530655 1.0000 3.185352 0.9993
Panel PP-Statistic 3.413695 0.9997 2.022461 0.9784
Panel ADF-Statistic 2.460893 0.9931 0.885525 0.8121
Alternative hypothesis: individual AR coefs. (between-dimension)
Statistic Prob.
Group rho-Statistic 5.445702 1.0000
Group PP-Statistic 3.716835 0.9999
Group ADF-Statistic 0.632082 0.7363
Pedroni panel cointegration test
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