Fourier ADF, Fourier GLS, Fourier LM and Fourier KPSS test results-with constant model
| IUnit root test type | IIndustrial production index (logipi) constant and trend model | IAtmospheric carbon emissions (logcarbon) constant and trend model |
|---|---|---|
| Fourier ADF test (Enders and Lee, 2012, p. 197) | ADF-stat = −6.6381* Fourier = 3.0000 Lag = 12.0000 | ADF-stat = −7.6393* Fourier = 3.0000 Lag = 12.0000 |
| Fourier LM test (Enders and Lee, 2012, p. 582) | LM-stat = −6.0494* Fourier = 1.0000 Lag = 11.0000 | LM-stat = −7.6366* Fourier = 3.0000 Lag = 12.0000 |
| Fourier GLS test (Rodrigues and Taylor, 2012, p. 742) | GLS-stat = −4.7745* Fourier = 1.0000 Lag = 11.0000 | GLS-stat = −6.7590* Fourier = 2.0000 Lag = 12.0000 |
| Fourier KPSS test (Becker, Enders and Lee, 2006, p. 389) | KPSS-stat = 0.0694* Fourier = 3.0000 | KPSS-stat = 0.0124* Fourier = 2.0000 |
| IUnit root test type | IIndustrial production index (logipi) constant and trend model | IAtmospheric carbon emissions (logcarbon) constant and trend model |
|---|---|---|
| Fourier ADF test ( | ADF-stat = −6.6381 | ADF-stat = −7.6393 |
| Fourier LM test ( | LM-stat = −6.0494 | LM-stat = −7.6366 |
| Fourier GLS test ( | GLS-stat = −4.7745 | GLS-stat = −6.7590 |
| Fourier KPSS test ( | KPSS-stat = 0.0694 | KPSS-stat = 0.0124 |
Note:
Critical Value (*) 1% and (**) 5% are −3.637 and −3.017, respectively
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.