Table 3 Unit Root Test: ADF and Phillips... | Emerald Publishing

Table 3

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

	ADF test statistic	Results	PP test statistic	Results
Variables at level
CCI	−1.44	Nonstationary	−9.02	Non-stationary
GU	−6.28	Stationary I(0)	−9.23	Non-stationary
FS	−8.04	Stationary I(0)	−49.77	Stationary I(0)
S	−1.23	Nonstationary	−8.36	Non-stationary
Variables in the first differenced form
$Δ$ CCI	−4.61	Stationary I(1)	−51.59	Stationary (1)
$Δ$ GU	−0.34	Nonstationary	−273.01	Stationary (1)
$Δ$ FS	−2.82	Nonstationary	−1.03	Non stationary
$Δ$ S	−12.82	Stationary I(1)	−218.76	Stationary (1)
Critical values	1% – 4.12		1% − 19.13
	5% − 3.48		5% − 13.40
	10% − 3.17		10% − 10.77

	ADF test statistic	Results	PP test statistic	Results
Variables at level
CCI	−1.44	Nonstationary	−9.02	Non-stationary
GU	−6.28	Stationary I(0)	−9.23	Non-stationary
FS	−8.04	Stationary I(0)	−49.77	Stationary I(0)
S	−1.23	Nonstationary	−8.36	Non-stationary
Variables in the first differenced form
$Δ$ CCI	−4.61	Stationary I(1)	−51.59	Stationary (1)
$Δ$ GU	−0.34	Nonstationary	−273.01	Stationary (1)
$Δ$ FS	−2.82	Nonstationary	−1.03	Non stationary
$Δ$ S	−12.82	Stationary I(1)	−218.76	Stationary (1)
Critical values	1% – 4.12		1% − 19.13
	5% − 3.48		5% − 13.40
	10% − 3.17		10% − 10.77

Source(s): Compilation: Author