Unit root test results
| ADF test | ||
|---|---|---|
| Variable | Level | First difference |
| Probability value | Probability value | |
| CPI | 0.5639 | 0.0000 |
| EXR | 0.0606 | 0.0000 |
| LGDP | 0.4598 | 0.0000 |
| INT | 0.0587 | 0.0014 |
| LJSE15 | 0.2359 | 0.0000 |
| Phillips-Perron test | ||
| CPI | 0.5795 | 0.0000 |
| EXR | 0.1464 | 0.0000 |
| LGDP | 0.5036 | 0.0000 |
| INT | 0.2526 | 0.0011 |
| LJSE15 | 0.2132 | 0.0000 |
| ADF test | ||
|---|---|---|
| Variable | Level | First difference |
| Probability value | Probability value | |
| CPI | 0.5639 | 0.0000 |
| EXR | 0.0606 | 0.0000 |
| LGDP | 0.4598 | 0.0000 |
| INT | 0.0587 | 0.0014 |
| LJSE15 | 0.2359 | 0.0000 |
| CPI | 0.5795 | 0.0000 |
| EXR | 0.1464 | 0.0000 |
| LGDP | 0.5036 | 0.0000 |
| INT | 0.2526 | 0.0011 |
| LJSE15 | 0.2132 | 0.0000 |
| KPSS test | ||
|---|---|---|
| Variable | Level | |
| Asymptotic critical value at 5% level | KPSS test statistic | |
| CPI | 0.1460 | 0.2768 |
| EXR | 0.1460 | 0.1340 |
| LGDP | 0.1460 | 0.2933 |
| INT | 0.4630 | 0.3488 |
| LJSE15 | 0.1460 | 0.1585 |
| KPSS test | ||
|---|---|---|
| Variable | Level | |
| Asymptotic critical value at 5% level | KPSS test statistic | |
| CPI | 0.1460 | 0.2768 |
| EXR | 0.1460 | 0.1340 |
| LGDP | 0.1460 | 0.2933 |
| INT | 0.4630 | 0.3488 |
| LJSE15 | 0.1460 | 0.1585 |
| Variable | First difference | |
|---|---|---|
| Asymptotic critical value at 5% level | KPSS test statistic | |
| CPI | 0.1460 | 0.0653 |
| EXR | 0.1460 | 0.0403 |
| LGDP | 1.1460 | 0.0625 |
| INT | 0.4630 | 0.0804 |
| LJSE15 | 0.1460 | 0.0658 |
| Variable | First difference | |
|---|---|---|
| Asymptotic critical value at 5% level | KPSS test statistic | |
| CPI | 0.1460 | 0.0653 |
| EXR | 0.1460 | 0.0403 |
| LGDP | 1.1460 | 0.0625 |
| INT | 0.4630 | 0.0804 |
| LJSE15 | 0.1460 | 0.0658 |
Note(s): All variables tested with constant and trend except INT which is tested with constant only
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