Table I Unit root test results Ng-Perron...

Table I

Unit root test results

Ng-Perron test results
	$M Z_{a}$	$M Z_{t}$	MSB	MPT
LHP_US	−10.960	−2.234	0.203	8.857
ΔLHP_US	−45.053	−4.728	0.104	0.590
LHP_UK	−4.511	−1.375	0.304	19.262
ΔLHP_UK	−48.336	−4.902	0.101	0.541
LHP_NY	−1.821	−0.750	0.411	36.409
ΔLHP_NY	−60.749	−5.503	0.090	0.421
LHP_LON	−5.007	−1.553	0.310	18.062
ΔLHP_LON	−77.475	−6.211	0.080	0.342

Ng-Perron test results
	$M Z_{a}$	$M Z_{t}$	MSB	MPT
LHP_US	−10.960	−2.234	0.203	8.857
ΔLHP_US	−45.053	−4.728	0.104	0.590
LHP_UK	−4.511	−1.375	0.304	19.262
ΔLHP_UK	−48.336	−4.902	0.101	0.541
LHP_NY	−1.821	−0.750	0.411	36.409
ΔLHP_NY	−60.749	−5.503	0.090	0.421
LHP_LON	−5.007	−1.553	0.310	18.062
ΔLHP_LON	−77.475	−6.211	0.080	0.342

Notes: –Maze, MZt, MSB, MPT critical values respectively; %1 significance level −23.80, −3.42, 0.14 and 4.03%5 significance level −17.30, −2.91, 0.17 and 5.48 for HP_US, HP_UK, HP_NY and HP_LON variables; – Maze, MZt, MSB, MPT critical values respectively; %1 significance level −13.80, −2.58, 0.17 and 1.78%5 significance level −8.10, −1.98, 0.23 and 3.17 for ΔHP_US, ΔHP_UK, ΔHP_NY and ΔHP_LON variable

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