Table 3 Dickey–Fuller and... | Emerald Publishing

Table 3

Dickey–Fuller and Phillips–Perron unit root test results

Variable	Statistic	1% CV	5% CV	10% CV	p-value
Dickey-Fuller
$d . r_t$	−5.030	−3.514	−2.892	−2.581	0.0000
$d . y_t$	−18.807	−3.514	−2.892	−2.581	0.0000
$d . r *_t$	−7.531	−3.514	−2.892	−2.581	0.0000
$d . π_{t}$	−6.464	−3.514	−2.892	−2.581	0.0000
${d . π}_{t}^{'}$	−6.464	−3.514	−2.892	−2.581	0.0000
$d . y^{'}_t$	−5.471	−3.514	−2.892	−2.581	0.8975
$d . M C I_c n t_{t}$	−6.440	−3.514	−2.892	−2.581	0.0000
$d . M C I_t v p_{t}$	−10.484	−3.527	−2.900	−2.585	0.0000
Phillips-Perron
$d . r_t$	−5.072	−3.514	−2.892	−2.581	0.0000
$d . y_t$	−26.002	−3.514	−2.892	−2.581	0.0000
$d . r *_t$	−7.538	−3.514	−2.892	−2.581	0.0000
$d . π_{t}$	−6.519	−3.514	−2.892	−2.581	0.0000
${d . π}_{t}^{'}$	−6.519	−3.514	−2.892	−2.581	0.0000
$d . y^{'}_t$	−5.393	−3.514	−2.892	−2.581	0.5855
$d . M C I_c n t_{t}$	−9.393	−3.514	−2.892	−2.581	0.5855
$d . M C I_t v p_{t}$	−6.497	−3.514	−2.892	−2.581	0.0000

Variable	Statistic	1% CV	5% CV	10% CV	p-value
Dickey-Fuller
$d . r_t$	−5.030	−3.514	−2.892	−2.581	0.0000
$d . y_t$	−18.807	−3.514	−2.892	−2.581	0.0000
$d . r *_t$	−7.531	−3.514	−2.892	−2.581	0.0000
$d . π_{t}$	−6.464	−3.514	−2.892	−2.581	0.0000
${d . π}_{t}^{'}$	−6.464	−3.514	−2.892	−2.581	0.0000
$d . y^{'}_t$	−5.471	−3.514	−2.892	−2.581	0.8975
$d . M C I_c n t_{t}$	−6.440	−3.514	−2.892	−2.581	0.0000
$d . M C I_t v p_{t}$	−10.484	−3.527	−2.900	−2.585	0.0000
Phillips-Perron
$d . r_t$	−5.072	−3.514	−2.892	−2.581	0.0000
$d . y_t$	−26.002	−3.514	−2.892	−2.581	0.0000
$d . r *_t$	−7.538	−3.514	−2.892	−2.581	0.0000
$d . π_{t}$	−6.519	−3.514	−2.892	−2.581	0.0000
${d . π}_{t}^{'}$	−6.519	−3.514	−2.892	−2.581	0.0000
$d . y^{'}_t$	−5.393	−3.514	−2.892	−2.581	0.5855
$d . M C I_c n t_{t}$	−9.393	−3.514	−2.892	−2.581	0.5855
$d . M C I_t v p_{t}$	−6.497	−3.514	−2.892	−2.581	0.0000