Table I. Unit root tests, Malaysia...

Table I.

Unit root tests, Malaysia

Variables	ADF unit root test	PP unit root test
Variables	T-statistic	T-statistic
REV_t	3.095 (2)	3.167 (2)
ΔREV_t	−3.126** (0)	−3.126** (1)
RATE_t	−1.261 (0)	−1.268 (1)
ΔRATE_t	−3.518** (0)	−3.518** (0)
$R A T E_{t}^{2}$	−1.377 (0)	−1.379 (1)
$Δ R A T E_{t}^{2}$	−3.621** (0)	−3.621** (0)

Variables	ADF unit root test	PP unit root test
Variables	T-statistic	T-statistic
REV_t	3.095 (2)	3.167 (2)
ΔREV_t	−3.126** (0)	−3.126** (1)
RATE_t	−1.261 (0)	−1.268 (1)
ΔRATE_t	−3.518** (0)	−3.518** (0)
$R A T E_{t}^{2}$	−1.377 (0)	−1.379 (1)
$Δ R A T E_{t}^{2}$	−3.621** (0)	−3.621** (0)

Notes: ** indicates significance at 5% level. With maximum lag set at 2, the optimal lags in ADF are selected based on Schwarz Information Criterion, whereas the Bartlett with Newey-West bandwidth is used for PP. Due to the short sample size, we provide for intercept only in the estimation process

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