Table 3. Results from conventional tests...

Table 3.

Results from conventional tests

	Constant				Constant and trend
Country	ADF	p	PP	KPSS	ADF	p	PP	KPSS
Greece	−1.475	12	−1.621	2.005^***	−2.643	12	−2.647	0.383^***
Ireland	−2.936^**	3	−2.704^***	0.177	−3.026	3	−2.782	0.112
Italy	−2.065	11	−2.174	1.515^***	−2.490	11	−2.422	0.139^*
Portugal	−1.635	10	−1.551	2.159^***	−2.150	10	−2.097	0.271^***
Spain	−2.500	7	−2.531	2.069^***	−3.271^*	9	−2.766	0.202^**

	Constant				Constant and trend
Country	ADF	p	PP	KPSS	ADF	p	PP	KPSS
Greece	−1.475	12	−1.621	2.005^***	−2.643	12	−2.647	0.383^***
Ireland	−2.936^**	3	−2.704^***	0.177	−3.026	3	−2.782	0.112
Italy	−2.065	11	−2.174	1.515^***	−2.490	11	−2.422	0.139^*
Portugal	−1.635	10	−1.551	2.159^***	−2.150	10	−2.097	0.271^***
Spain	−2.500	7	−2.531	2.069^***	−3.271^*	9	−2.766	0.202^**

Notes:

The optimal lag(s), p, for ADF test were determined by the t-stat significance of the last lagged dependent variable at the 10% significance level by setting the maximum number of lags to 12. Bartlett kernel spectral estimation method with Newey–West automatic bandwidth was used for PP, and KPSS tests. The critical values for ADF, and PP test are −3.44 (1%), −2.86 (5%) and −2.56 (10%) for model with constant; and −3.97 (1%), −3.41 (5%) and −3.13 (10%) for model with constant and trend. The critical values for KPSS test are 0.73 (1%), 0.46 (5%) and 0.34 (10%) for model with constant; and 0.21 (1%), 0.14 (5%) and 0.11 (1%) for model with constant and trend.

***

(1%),

(5%) and

(10%)

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