# How to interpret Pedroni test results in R?

I'm having trouble understanding how to interpret the results of the Pedroni test of cointegration in panels. I'm using the pco R package.

I call the function like this:

pedroni99(Y = unstack(pdf, y ~ iso), X = unstack(pdf, x ~ iso), kk = 0, type.stat = 1, ka = 15)


And get the following result:

$METHOD [1] "Pedroni(1999) panel tests for cointegration"$STATISTIC
empirical  standardized
nipanel       5.485297e+00 -6.103495e+00
rhopanel     -9.151844e+03 -1.134516e+03
tpanelnonpar -2.550723e+02 -1.927592e+02
tpanelpar    -2.254923e+05 -1.805847e+05
rhogroup     -9.471852e+03 -1.449308e+03
tgroupnonpar -2.619853e+02 -3.037890e+02
tgrouppar    -2.560885e+02 -2.964693e+02


How do I interpret the empirical vs standardized values for each test? I've read here that the first test is supposed to diverge to positive infinity, and the other to negative infinity, under the null. What are the results supposed to say?

Looking at the help file of the pedroni99 function and Pedroni's 1999 paper (especially pages 665-666), we find that
The standardized values of the test statistics are asymptotically normal (0,1) under $$H_0$$
and the null hypotheses seem are "No cointegration". If your sample is large enough to invoke asymptotic arguments, you can compare the test statistics with appropriate tail quantiles of the standard normal distribution. You will reject $$H_0$$ of 6 out of 7 flavors (the 1 flavor that you cannot reject is $$\nu$$ panel) for any common significance level (10%, 5%, 1%), as the absolute values of your test statistics are higher than the 95%, 97.5% and 99.5% quantiles of the standard normal distribution, respectively.
• @RichardHardy , could you please clarify your nipanel statistic interpretation? Perhaps I am missing or misreading something, but the standardized nipanel value equals -6.1 (approx), which would suggest rejecting $H_0$. Jul 14, 2022 at 15:27