Table 1 DF-GLS, Zivot-Andrews (ZA) and...

Table 1

DF-GLS, Zivot-Andrews (ZA) and Lee and Strazicich (LS) unit root test results for the individual series

	DF-GLS	ZA	LS	DF-GLS	ZA	LS
	$i_{t}$			${∆ i}_{t}$
United Kingdom	−3.237**	−2.309	−5.901***	−4.898***	−9.377***	−9.765***
Canada	−3.784***	−3.750	−5.720***	−4.680***	−9.153***	−9.381***
Australia	−5.122***	−2.897	−6.236***	−7.502***	−7.449***	−12.754***
New Zealand	−3.552***	−2.878	−5.609***	−5.025***	−11.443***	−12.821***
Sweden	−3.361**	−3.815	−5.442***	−11.951***	−12.285***	−12.383***
United States	−3.084**	−2.644	−4.613**	−11.670***	−9.807***	−5.330***
Japan	−3.889***	−4.797**	−4.238**	−11.415***	−17.709***	−25.812***
Denmark	−3.303**	−2.892	−4.291**	−4.072***	−17.387***	−17.154***
Euro-Area	−3.168**	−1.112	−5.170***	−10.758***	−17.847***	−17.662***
Switzerland	−3.291**	−3.040	−3.002	−6.561***	−17.647***	−11.876***
	$y_{t}$			${∆ y}_{t}$
United Kingdom	−5.112***	−6.114***	−5.528***	−6.681***	−11.990***	−6.509***
Canada	−5.246***	−5.331***	−5.233***	−10.136***	−10.298***	−10.083***
Australia	−5.248***	−5.214***	−5.328***	−4.590***	−10.628***	−10.636***
New Zealand	−3.323**	−6.430***	−4.537***	−6.580***	−9.602***	−8.915***
Sweden	−5.970***	−4.453**	−5.558***	−6.235***	−7.350***	−6.350***
United States	−5.431***	−5.707***	−5.317***	−7.660***	−9.544***	−9.598***
Japan	−5.560***	−5.240***	−5.606***	−6.038***	−7.859***	−7.312***
Denmark	−4.154***	−6.070***	−4.742***	−7.203***	−8.891***	−7.348***
Euro-Area	−3.802***	−4.425**	−4.465**	−11.715***	−12.067***	−12.458***
Switzerland	−5.185***	−4.845**	−4.447**	−6.443***	−10.743***	−6.799***
	$π_{t}$			${∆ π}_{t}$
United Kingdom	−3.160**	−4.166	−4.832***	−8.709***	−12.397***	−9.160***
Canada	−5.141***	−4.501**	−6.807***	−8.140***	−10.373***	−8.676***
Australia	−3.327**	−3.889	−4.004**	−5.589***	−21.285***	−21.347***
New Zealand	−3.792***	−3.519	−3.664	−6.394***	−21.294***	−6.543***
Sweden	−3.504***	−4.425**	−3.681	−5.597***	−11.695***	−11.699***
United States	−4.084***	−5.801***	−5.406***	−8.079***	−12.165***	−7.890***
Japan	−4.951***	−6.672***	−5.085***	−14.245***	−13.612***	−13.428***
Denmark	−3.220**	−2.831	−4.125**	−5.466***	−12.765***	−13.028***
Euro-Area	−3.005**	−3.265	−4.830***	−4.675***	−6.995***	−16.790***
Switzerland	−3.495***	−5.127***	−4.704***	−12.045***	−12.616***	−12.760***
	$q_{t}$			${∆ q}_{t}$
United Kingdom	−2.562	−3.471	−3.731	−5.537***	−11.066***	−11.305***
Canada	−1.750	−2.109	−2.431	−3.549***	−9.366***	−9.779***
Australia	−1.561	−2.929	−3.140	−5.646***	−14.709***	−13.304***
New Zealand	−2.342	−3.423	−3.164	−4.776***	−11.665***	−6.628***
Sweden	−2.739	−3.505	−4.002**	−3.601***	−13.746***	−14.352***
United States	−0.605	−3.968	−2.650	−5.883***	−14.439***	−13.586***
Japan	−1.569	−3.716	−3.707	−3.841***	−10.356***	−10.539***
Denmark	−1.681	−4.322	−4.837***	−3.257**	−14.710***	−14.780***
Euro-Area	−2.331	−4.248	−2.817	−3.135**	−12.069***	−12.225***
Switzerland	−2.708	−3.264	−3.425	−3.881***	−11.722***	−11.796***

	DF-GLS	ZA	LS	DF-GLS	ZA	LS
	$i_{t}$			${∆ i}_{t}$
United Kingdom	−3.237**	−2.309	−5.901***	−4.898***	−9.377***	−9.765***
Canada	−3.784***	−3.750	−5.720***	−4.680***	−9.153***	−9.381***
Australia	−5.122***	−2.897	−6.236***	−7.502***	−7.449***	−12.754***
New Zealand	−3.552***	−2.878	−5.609***	−5.025***	−11.443***	−12.821***
Sweden	−3.361**	−3.815	−5.442***	−11.951***	−12.285***	−12.383***
United States	−3.084**	−2.644	−4.613**	−11.670***	−9.807***	−5.330***
Japan	−3.889***	−4.797**	−4.238**	−11.415***	−17.709***	−25.812***
Denmark	−3.303**	−2.892	−4.291**	−4.072***	−17.387***	−17.154***
Euro-Area	−3.168**	−1.112	−5.170***	−10.758***	−17.847***	−17.662***
Switzerland	−3.291**	−3.040	−3.002	−6.561***	−17.647***	−11.876***
	$y_{t}$			${∆ y}_{t}$
United Kingdom	−5.112***	−6.114***	−5.528***	−6.681***	−11.990***	−6.509***
Canada	−5.246***	−5.331***	−5.233***	−10.136***	−10.298***	−10.083***
Australia	−5.248***	−5.214***	−5.328***	−4.590***	−10.628***	−10.636***
New Zealand	−3.323**	−6.430***	−4.537***	−6.580***	−9.602***	−8.915***
Sweden	−5.970***	−4.453**	−5.558***	−6.235***	−7.350***	−6.350***
United States	−5.431***	−5.707***	−5.317***	−7.660***	−9.544***	−9.598***
Japan	−5.560***	−5.240***	−5.606***	−6.038***	−7.859***	−7.312***
Denmark	−4.154***	−6.070***	−4.742***	−7.203***	−8.891***	−7.348***
Euro-Area	−3.802***	−4.425**	−4.465**	−11.715***	−12.067***	−12.458***
Switzerland	−5.185***	−4.845**	−4.447**	−6.443***	−10.743***	−6.799***
	$π_{t}$			${∆ π}_{t}$
United Kingdom	−3.160**	−4.166	−4.832***	−8.709***	−12.397***	−9.160***
Canada	−5.141***	−4.501**	−6.807***	−8.140***	−10.373***	−8.676***
Australia	−3.327**	−3.889	−4.004**	−5.589***	−21.285***	−21.347***
New Zealand	−3.792***	−3.519	−3.664	−6.394***	−21.294***	−6.543***
Sweden	−3.504***	−4.425**	−3.681	−5.597***	−11.695***	−11.699***
United States	−4.084***	−5.801***	−5.406***	−8.079***	−12.165***	−7.890***
Japan	−4.951***	−6.672***	−5.085***	−14.245***	−13.612***	−13.428***
Denmark	−3.220**	−2.831	−4.125**	−5.466***	−12.765***	−13.028***
Euro-Area	−3.005**	−3.265	−4.830***	−4.675***	−6.995***	−16.790***
Switzerland	−3.495***	−5.127***	−4.704***	−12.045***	−12.616***	−12.760***
	$q_{t}$			${∆ q}_{t}$
United Kingdom	−2.562	−3.471	−3.731	−5.537***	−11.066***	−11.305***
Canada	−1.750	−2.109	−2.431	−3.549***	−9.366***	−9.779***
Australia	−1.561	−2.929	−3.140	−5.646***	−14.709***	−13.304***
New Zealand	−2.342	−3.423	−3.164	−4.776***	−11.665***	−6.628***
Sweden	−2.739	−3.505	−4.002**	−3.601***	−13.746***	−14.352***
United States	−0.605	−3.968	−2.650	−5.883***	−14.439***	−13.586***
Japan	−1.569	−3.716	−3.707	−3.841***	−10.356***	−10.539***
Denmark	−1.681	−4.322	−4.837***	−3.257**	−14.710***	−14.780***
Euro-Area	−2.331	−4.248	−2.817	−3.135**	−12.069***	−12.225***
Switzerland	−2.708	−3.264	−3.425	−3.881***	−11.722***	−11.796***

Note(s): * significant at 10% level, ** significant at 5% level, *** significant at 1% level

DF-GLS test hypothesis: $H_{0} : s e r i e s c o n t a i n s a u n i t r o o t$ ⁠, $H_{1} : s e r i e s i s s t a t i o n a r y$ ⁠, The tests include both a constant and linear trend as both are statistically significant. Zivot-Andrews test hypothesis: $H_{0} : s e r i e s c o n t a i n s a u n i t r o o t$ $w i t h a b r e a k$ ⁠, $H_{1} : s e r i e s i s s t a t i o n a r y w i t h a b r e a k$ ⁠, Tests for a break in both intercept and trend. Lee and Strazicich test hypothesis: $H_{0} : s e r i e s c o n t a i n s a u n i t r o o t$ $w i t h b r e a k s$ ⁠, $H_{1} : s e r i e s i s s t a t i o n a r y w i t h b r e a k s$ ⁠, Tests for a break in both intercept and trend

Source(s): Authors’ own creation

[ViewLarge]