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Table 5 Pairwise test of Pesaran (2007a)

From: The economic integration of Spain: a change in the inflation pattern

 

No trend specification

Trend specification

CPI. 50 provinces. 1955.1–1978.6

CPI. 50 provinces. 1978.7–2014.4

CPI. 50 provinces. 1955.1–1978.6

CPI. 50 provinces. 1978.7–2014.4

Fraction of rejections, based on 5 % nominal level tests

 Lag order chosen with AIC

  Average lag-order

4.256

6.896

4.317

6.977

  ADF test

0.985

0.999

0.952

0.995

  WS test

0.999

0.993

0.985

0.974

 Lag order chosen with SBC

  Average lag-order

1.345

2.508

1.324

2.536

  ADF test

0.998

0.999

0.984

0.994

  WS test

0.999

0.994

0.997

0.979

  KPSS test

0.228

0.202

0.299

0.303

Fraction of rejections, based on 10 % nominal level tests

 Lag order chosen with AIC

  Average lag-order

4.256

6.896

4.317

6.977

  ADF test

0.997

1.000

0.979

0.998

  WS test

1.000

0.994

0.995

0.984

 Lag order chosen with SBC

  Average lag-order

1.345

2.508

1.324

2.536

  ADF test

0.999

1.000

0.997

0.999

  WS test

1.000

0.997

0.999

0.989

  KPSS test

0.352

0.305

0.444

0.409

  1. WS denotes the weighted-symmetric statistic of Park and Fuller (1995). AIC and SBC denote Akaike information criterion and Schwarz Bayesian criterion, respectively. A maximum lag order of 8 is allowed in the computation of the ADF and WS statistics. The bandwidth for the KPSS test is \( \text{int} \;(0.75 \times T^{1/3} ) \)