Table 4 Unit root tests Level Augmented... | Emerald Publishing

Table 4

Unit root tests

Level	Augmented dickey-fuller test				Phillips-Perron test
	Intercept		Intercept and trend		Intercept	Intercept and trend
	k	T-statistic	k	T-statistic
LRHPI	2	−2.10	2	−2.20	−21.73	−22.83
LCPI	4	−1.28	4	−2.12	−20.16	−18.96
LGDPPC	0	−1.36	0	−1.72	−16.04	−18.77
INTER	1	−1.94	1	−1.33	−16.89	−0.71
First difference
ΔLRHPI	1	−2.69*	1	−2.64	−3.93***	−4.24***
ΔLCPI	4	−3.67***	4	−3.71**	−15.30***	−15.50***
ΔLGDPPC	0	−9.05***	0	−9.05***	−9.31***	−9.31***
ΔINTER	0	−6.19***	0	−6.38***	−6.13***	−6.27***

Level	Augmented dickey-fuller test				Phillips-Perron test
	Intercept		Intercept and trend		Intercept	Intercept and trend
	k	T-statistic	k	T-statistic
LRHPI	2	−2.10	2	−2.20	−21.73	−22.83
LCPI	4	−1.28	4	−2.12	−20.16	−18.96
LGDPPC	0	−1.36	0	−1.72	−16.04	−18.77
INTER	1	−1.94	1	−1.33	−16.89	−0.71
First difference
ΔLRHPI	1	−2.69*	1	−2.64	−3.93***	−4.24***
ΔLCPI	4	−3.67***	4	−3.71**	−15.30***	−15.50***
ΔLGDPPC	0	−9.05***	0	−9.05***	−9.31***	−9.31***
ΔINTER	0	−6.19***	0	−6.38***	−6.13***	−6.27***

Variable	k	T-statistic	Break point
LRHPI	1	−4.88**	2012Q2

Note(s): The number of lags (k) is based on the Akaike Criterion (AIC). *, **, and *** denote rejection at the 10%, 5%, and 1% level, respectively

Source(s): Authors' calculations; created by authors