Table 4 ADF tests for logs of prices... | Emerald Publishing

Table 4

ADF tests for logs of prices

Commodity: WMP					Commodity: SMP
	GDT_CP 2	EU	Oceania	US		GDT_CP2	EU	Oceania	US
Level	−2.620*	−1.892	−2.412	−1.222	Level	−1.672	−1.493	−1.625	−1.167
1st difference	−10.486***	−7.933***	−9.260***	−13.235***	1st difference	−12.413***	−7.819***	−10.988***	−9.362***
Test critical values	1% level	5% level	10% level		Test critical values	1% level	5% level	10% level
Test critical values	−3.460	−2.874	−2.574		Test critical values	−3.460	−2.874	−2.574

Commodity: WMP					Commodity: SMP
	GDT_CP 2	EU	Oceania	US		GDT_CP2	EU	Oceania	US
Level	−2.620*	−1.892	−2.412	−1.222	Level	−1.672	−1.493	−1.625	−1.167
1st difference	−10.486***	−7.933***	−9.260***	−13.235***	1st difference	−12.413***	−7.819***	−10.988***	−9.362***
Test critical values	1% level	5% level	10% level		Test critical values	1% level	5% level	10% level
Test critical values	−3.460	−2.874	−2.574		Test critical values	−3.460	−2.874	−2.574

Commodity: Butter					Commodity: Cheddar
	GDT_CP 2	EU	Oceania	US		GDT_CP2	EU	Oceania	US
Level	−2.057	−1.571	−1.918	−3.109**	Level	−2.979**	−1.179	−2.177	−3.838***
1st difference	−10.241***	−6.543***	−8.756***	−10.494***	1st difference	−13.629***	−10.925***	−15.069***	−9.881***
Test critical values	1% level	5% level	10% level		Test critical values	1% level	5% level	10% level
Test critical values	−3.471	−2.879	−2.576		Test critical values	−3.463	−2.876	−2.575

Commodity: Butter					Commodity: Cheddar
	GDT_CP 2	EU	Oceania	US		GDT_CP2	EU	Oceania	US
Level	−2.057	−1.571	−1.918	−3.109**	Level	−2.979**	−1.179	−2.177	−3.838***
1st difference	−10.241***	−6.543***	−8.756***	−10.494***	1st difference	−13.629***	−10.925***	−15.069***	−9.881***
Test critical values	1% level	5% level	10% level		Test critical values	1% level	5% level	10% level
Test critical values	−3.471	−2.879	−2.576		Test critical values	−3.463	−2.876	−2.575

Note(s): ***, ** and * denote significance level of 1%,_: 5% and 10%, respectivelySource(s): own calculations