Table 3

Unit root test for cash and future prices of copper

TestSeriesSpec.t- stat and p-valueTestSeriesSpec.t- stat and p-value
 ADFlncashC−2.015 [0.280]PPlncashC−2.048 [0.266]
C and T−2.051 [0.572]C and T−2.091 [0.549]
None−0.125 [0.641]None−0.139 [0.635]
lnfuturesC−1.996 [0.289]lnfuturesC−2.065 [0.259]
C and T−2.001 [0.599]C and T−2.081 [0.555]
None−0.196 [0.616]None−0.194 [0.616]
Δ lncash (First differenced)C−47.979 [0.000]*Δ lncash (First differenced)C−47.986 [0.000]*
C and T−47.966 [0.000]*C and T−47.973 [0.000]*
None−47.992 [0.000]*None−47.999 [0.000]*
Δ lnfutures (First differenced)C−43.713 [0.000]*Δ lnfutures (First differenced)C−43.718 [0.000]*
C and T−43.701 [0.000]*C and T−43.708 [0.000]*
None−43.724 [0.000]*None−43.729 [0.000]*

Note(s): *Indicates that the values are significant at a 1 per cent statistical level

Values within [ ] refers to p-values

Source(s): Authors’ calculation
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