Table A1 BDS test results UNC R M1 CPI...

Table A1

BDS test results

		UNC	R	M1	CPI	IPI
Japan
m = 2	BDS Statistic	−0.0047	−0.0046	−0.0001	−0.0013	0.0049
m = 2	Prob	0.3433	0.6404	0.9837	0.8367	0.3665
m = 3	BDS Statistic	−0.0035	−0.0040	−0.0018	−0.0068	0.0022
m = 3	Prob	0.4399	0.7388	0.6064	0.3234	0.6794
m = 4	BDS Statistic	−0.0019	−0.0001	−0.0013	−0.0066	0.0003
m = 4	Prob	0.5355	0.9947	0.5724	0.2304	0.9291
m = 5	BDS Statistic	−0.0015	0.0009	−0.0009	−0.0051	0.0015
m = 5	Prob	0.4369	0.9105	0.4767	0.1927	0.5769
m = 6	BDS Statistic	−0.0005	0.0034	−0.0001	−0.0037	0.0013
m = 6	Prob	0.6540	0.6036	0.9017	0.1471	0.3882
Canada
m = 2	BDS Statistic	0.0077	0.0109	0.0013	0.0036	0.0091
m = 2	Prob	0.0837*	0.0230**	0.7152	0.3567	0.0254**
m = 3	BDS Statistic	0.0080	0.0106	−0.0001	0.0055	0.0100
m = 3	Prob	0.0462**	0.0195**	0.9717	0.1118	0.0116**
m = 4	BDS Statistic	0.0055	0.0058	−0.0014	0.0051	0.0099
m = 4	Prob	0.0414**	0.0729*	0.4949	0.0240**	0.0006***
m = 5	BDS Statistic	0.0037	0.0031	−0.0021	0.0016	0.0067
m = 5	Prob	0.0224**	0.1220	0.0669	0.2203	0.0003***
m = 6	BDS Statistic	0.0035	0.0024	−0.0021	0.0001	0.0039
m = 6	Prob	0.0001***	0.0389**	0.0179	0.1565	0.0004***
Mexico
m = 2	BDS Statistic	0.0190	0.0016	0.0031	−0.0015	−0.0049
m = 2	Prob	0.0001***	0.7697	0.3371	0.7646	0.2385
m = 3	BDS Statistic	0.0200	0.0047	0.0004	−0.0012	0.0076
m = 3	Prob	0.0000***	0.3859	0.8899	0.7930	0.8654
m = 4	BDS Statistic	0.0114	0.0037	0.0003	−0.0025	0.0001
m = 4	Prob	0.0024***	0.3604	0.8476	0.4409	0.9780
m = 5	BDS Statistic	0.0053	0.0018	−0.0005	0.0005	0.0001
m = 5	Prob	0.0321**	0.4965	0.6439	0.7953	0.9390
m = 6	BDS Statistic	0.0038	0.0011	−0.0004	0.0004	−0.0004
m = 6	Prob	0.0134**	0.4972	0.4815	0.7273	0.7973
Eurozone
m = 2	BDS Statistic	0.0069	0.0347	−0.0027	−0.0071	0.0027
m = 2	Prob	0.0912*	0.0000***	0.5512	0.0663**	0.3642
m = 3	BDS Statistic	0.0093	0.0437	−0.0027	−0.0003	0.0019
m = 3	Prob	0.0119**	0.0000***	0.5173	0.9328	0.4810
m = 4	BDS Statistic	0.0054	0.0399	−0.0006	0.0005	0.0010
m = 4	Prob	0.0317**	0.0000***	0.8295	0.8330	0.6188
m = 5	BDS Statistic	0.0042	0.0308	−0.0006	0.0008	0.0010
m = 5	Prob	0.0050***	0.0000***	0.7403	0.5064	0.4371
m = 6	BDS Statistic	0.0038	0.0216	−0.0003	0.0007	−0.0002
m = 6	Prob	0.0000***	0.0000***	0.8014	0.2672	0.8082

		UNC	R	M1	CPI	IPI
Japan
m = 2	BDS Statistic	−0.0047	−0.0046	−0.0001	−0.0013	0.0049
m = 2	Prob	0.3433	0.6404	0.9837	0.8367	0.3665
m = 3	BDS Statistic	−0.0035	−0.0040	−0.0018	−0.0068	0.0022
m = 3	Prob	0.4399	0.7388	0.6064	0.3234	0.6794
m = 4	BDS Statistic	−0.0019	−0.0001	−0.0013	−0.0066	0.0003
m = 4	Prob	0.5355	0.9947	0.5724	0.2304	0.9291
m = 5	BDS Statistic	−0.0015	0.0009	−0.0009	−0.0051	0.0015
m = 5	Prob	0.4369	0.9105	0.4767	0.1927	0.5769
m = 6	BDS Statistic	−0.0005	0.0034	−0.0001	−0.0037	0.0013
m = 6	Prob	0.6540	0.6036	0.9017	0.1471	0.3882
Canada
m = 2	BDS Statistic	0.0077	0.0109	0.0013	0.0036	0.0091
m = 2	Prob	0.0837*	0.0230**	0.7152	0.3567	0.0254**
m = 3	BDS Statistic	0.0080	0.0106	−0.0001	0.0055	0.0100
m = 3	Prob	0.0462**	0.0195**	0.9717	0.1118	0.0116**
m = 4	BDS Statistic	0.0055	0.0058	−0.0014	0.0051	0.0099
m = 4	Prob	0.0414**	0.0729*	0.4949	0.0240**	0.0006***
m = 5	BDS Statistic	0.0037	0.0031	−0.0021	0.0016	0.0067
m = 5	Prob	0.0224**	0.1220	0.0669	0.2203	0.0003***
m = 6	BDS Statistic	0.0035	0.0024	−0.0021	0.0001	0.0039
m = 6	Prob	0.0001***	0.0389**	0.0179	0.1565	0.0004***
Mexico
m = 2	BDS Statistic	0.0190	0.0016	0.0031	−0.0015	−0.0049
m = 2	Prob	0.0001***	0.7697	0.3371	0.7646	0.2385
m = 3	BDS Statistic	0.0200	0.0047	0.0004	−0.0012	0.0076
m = 3	Prob	0.0000***	0.3859	0.8899	0.7930	0.8654
m = 4	BDS Statistic	0.0114	0.0037	0.0003	−0.0025	0.0001
m = 4	Prob	0.0024***	0.3604	0.8476	0.4409	0.9780
m = 5	BDS Statistic	0.0053	0.0018	−0.0005	0.0005	0.0001
m = 5	Prob	0.0321**	0.4965	0.6439	0.7953	0.9390
m = 6	BDS Statistic	0.0038	0.0011	−0.0004	0.0004	−0.0004
m = 6	Prob	0.0134**	0.4972	0.4815	0.7273	0.7973
Eurozone
m = 2	BDS Statistic	0.0069	0.0347	−0.0027	−0.0071	0.0027
m = 2	Prob	0.0912*	0.0000***	0.5512	0.0663**	0.3642
m = 3	BDS Statistic	0.0093	0.0437	−0.0027	−0.0003	0.0019
m = 3	Prob	0.0119**	0.0000***	0.5173	0.9328	0.4810
m = 4	BDS Statistic	0.0054	0.0399	−0.0006	0.0005	0.0010
m = 4	Prob	0.0317**	0.0000***	0.8295	0.8330	0.6188
m = 5	BDS Statistic	0.0042	0.0308	−0.0006	0.0008	0.0010
m = 5	Prob	0.0050***	0.0000***	0.7403	0.5064	0.4371
m = 6	BDS Statistic	0.0038	0.0216	−0.0003	0.0007	−0.0002
m = 6	Prob	0.0000***	0.0000***	0.8014	0.2672	0.8082

Note(s): ***, ** and * indicate significance at 1%, 5% and 10%, respectively. Method: Standard Deviations. Value: 0.7

Source(s): Author’s own calculation

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