Table 2. Unit root test: ADF and...

Table 2.

Unit root test: ADF and Phillips Perron (PP) and DF-GLS test

Variables at level	ADF test statistic	Results	PP test statistic	Results	DF-GLS test statistic	Results
T	−2.96	Non-stationary	−3.52	Non-stationary	−2.89	Non-stationary
IP	−0.73	Non-stationary	−7.08	Non-stationary	−2.27	Non-stationary
EM	−2.06	Non-stationary	−6.01	Non-stationary	−1.90	Non-stationary
CPI	−1.69	Non-stationary	−1.70	Non-stationary	−2.22	Non-stationary
EPU	−1.02	Non-stationary	−6.08	Non-stationary	−1.08	Non-stationary
EX	−0.94	Non-stationary	−1.38	Non-stationary	−2.03	Non-stationary
GPR	−0.78	Non-stationary	−3.50	Non-stationary	−1.39	Non-stationary
Variables in the first differenced form	ADF test statistic	Results	PP Test statistic	Results	DF-GLS test statistic	Results
ΔT	−5.48	Stationary I(1)	−26.25	Stationary I(1)	−3.01	Stationary I(1)
ΔIP	−7.51	Stationary I(1)	−38.69	Stationary I(1)	−8.43	Stationary I(1)
ΔEM	−6.88	Stationary I(1)	−38.45	Stationary I(1)	−3.65	Stationary I(1)
ΔCPI	−8.72	Stationary I(1)	−21.83	Stationary I(1)	−3.31	Stationary I(1)
ΔEPU	6.78	Stationary I(1)	−37.94	Stationary I(1)	−8.03	Stationary I(1)
ΔEX	−6.02	Stationary I(1)	−29.26	Stationary I(1)	−6.94	Stationary I(1)
ΔGPR	−9.73	Stationary I(1)	−44.03	Stationary I(1)	−5.73	Stationary I(1)
Critical values	1%		1%		Critical values at 5% level of significance −3.05, lags 4
	−4.12		−19.13
	5%		5%
	−3.48		−13.40
	10%		10%
	−3.17		−10.77

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