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I am currently using Eviews 12 (Serial # 12K00061, Enterprise edition registered to Shiv Nadar University). My question is about Bai and Ng Panel Unit Root test.

At the bottom of page 724, the Eviews Users Guide II says, “Lastly, the final table is a pooled version of the individual ADF test statistics in the previous table. Here, we cannot reject the null hypothesis that all of the cross-sections are simultaneously co-integrated.” The p-value for this pooled statistic is 0.59592 and the null hypothesis is “No cointegration among all cross-sections.”

Then, at the bottom of page 728, it says, “Lastly, the pooled version of the latter tests has a p-value which effectively (sic) zero, and therefore we fail to reject the null hypothesis that all cross-sections are not cointegrated.” The p-value for this pooled statistic is 0.00000 and the null hypothesis is “No cointegration among all cross-sections.”

These are confusing, if not incorrect.

Hi Arca!

Thanks for pointing this out. We'll fix the language to more clearly (correctly) reflect the p-value.

In addition to what Arca asked, should the null in the pooled test address cointegration or stationarity? i am confused since the whole test (in my understanding) is about unit root.

Quoting the original source for the test: "A panic attack on unit roots and cointegration" by Bai and Ng (2004), the following is found on page 1140:

"A pooled test of the idiosyncratic errors can be seen as a panel test of no cointegration, as the null hypothesis that ρ_i = 1 for every i holds only if no
stationary combination of X_it can be formed."

Hope this helps.

Thank you, this really helps.