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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 \( \text{int} \;(0.75 \times T^{1/3} ) \)