Table 1. Summary statistics USA Japan...

Table 1.

Summary statistics

	USA			Japan			Greece			Korea
Statistic	EPU	FPU	MPU	EPU	FPU	MPU	EPU	FPU	MPU	EPU	FPU	MPU
Mean	0.040	0.060	0.145	0.016	0.025	0.078	0.028	0.051	0.116	0.011	0.032	0.051
Variance	0.103***	0.140***	0.483***	0.039***	0.061***	0.200***	0.059***	0.129***	0.381***	0.024***	0.077***	0.114***
Skewness	2.603***	1.343***	2.613***	0.634***	0.984***	1.664***	0.769***	1.611***	2.900***	0.575***	1.616***	0.961***
Ex.Kurtosis	12.862***	2.791***	10.631***	1.230***	2.020***	3.950***	1.148***	4.869***	13.219***	0.524*	4.429***	1.153***
JB	2294.44***	178.75***	1672.15***	37.187***	94.813***	317.83***	43.89***	406.32***	2483.11***	19.04***	358.11***	59.83***
ERS	−4.334***	−3.221***	−2.857***	−4.949***	−3.457***	−1.028	−8.714***	−2.186**	−3.254***	−3.569***	−5.074***	−5.728***
Q(20)	14.173	18.022**	22.131***	27.972***	28.930***	36.289***	41.601***	49.686***	33.465***	31.180***	20.739**	50.558***
Q²(20)	1.722	10.761	2.956	9.475	8.243	5.498	9.256	12.651	16.403*	4.271	4.455	8.968

	USA			Japan			Greece			Korea
Statistic	EPU	FPU	MPU	EPU	FPU	MPU	EPU	FPU	MPU	EPU	FPU	MPU
Mean	0.040	0.060	0.145	0.016	0.025	0.078	0.028	0.051	0.116	0.011	0.032	0.051
Variance	0.103***	0.140***	0.483***	0.039***	0.061***	0.200***	0.059***	0.129***	0.381***	0.024***	0.077***	0.114***
Skewness	2.603***	1.343***	2.613***	0.634***	0.984***	1.664***	0.769***	1.611***	2.900***	0.575***	1.616***	0.961***
Ex.Kurtosis	12.862***	2.791***	10.631***	1.230***	2.020***	3.950***	1.148***	4.869***	13.219***	0.524*	4.429***	1.153***
JB	2294.44***	178.75***	1672.15***	37.187***	94.813***	317.83***	43.89***	406.32***	2483.11***	19.04***	358.11***	59.83***
ERS	−4.334***	−3.221***	−2.857***	−4.949***	−3.457***	−1.028	−8.714***	−2.186**	−3.254***	−3.569***	−5.074***	−5.728***
Q(20)	14.173	18.022**	22.131***	27.972***	28.930***	36.289***	41.601***	49.686***	33.465***	31.180***	20.739**	50.558***
Q²(20)	1.722	10.761	2.956	9.475	8.243	5.498	9.256	12.651	16.403*	4.271	4.455	8.968

Notes:

Skewness: D’Agostino (1970) test; Kurtosis: Anscombe and Glynn (1983) test; JB: Jarque and Bera (1980) normality test; ERS: Elliott, Rothenberg and Stock (1996) unit-root test; (20) and Q² (20): Fisher and Gallagher (2012) weighted portmanteau tests; ***, **, * represents statistical significance at the 1%, 5% and 10% level of significance respectively

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