Panel unit-root test
| Statistic | p-value | ||
|---|---|---|---|
| Panel A: Fisher-type unit-root test for IR (based on augmented Dickey–Fuller tests) | |||
| Inverse χ2 (42) | P | 141.1263 | 0.0000 |
| Inverse normal | Z | −3.7963 | 0.0001 |
| Inverse logit t (104) | L* | −6.7283 | 0.0000 |
| Modified inv. χ2 | Pm | 10.8156 | 0.0000 |
| Panel B: Fisher-type unit-root test for INF (based on augmented Dickey–Fuller tests) | |||
| Inverse χ2 (42) | P | 190.8418 | 0.0000 |
| Inverse normal | Z | −9.7501 | 0.0000 |
| Inverse logit t (109) | L* | −11.3288 | 0.0000 |
| Modified inv. χ2 | Pm | 16.2400 | 0.0000 |
| Panel C: Fisher-type unit-root test for Ygap (based on augmented Dickey–Fuller tests) | |||
| Inverse χ2 (42) | P | 432.5446 | 0.0000 |
| Inverse normal | Z | −15.0169 | 0.0000 |
| Inverse logit t (104) | L* | −26.0654 | 0.0000 |
| Modified inv. χ2 | Pm | 42.6119 | 0.0000 |
| Statistic | |||
|---|---|---|---|
| Inverse | 141.1263 | 0.0000 | |
| Inverse normal | −3.7963 | 0.0001 | |
| Inverse logit | −6.7283 | 0.0000 | |
| Modified inv. | Pm | 10.8156 | 0.0000 |
| Inverse | 190.8418 | 0.0000 | |
| Inverse normal | −9.7501 | 0.0000 | |
| Inverse logit | −11.3288 | 0.0000 | |
| Modified inv. | Pm | 16.2400 | 0.0000 |
| Inverse | 432.5446 | 0.0000 | |
| Inverse normal | −15.0169 | 0.0000 | |
| Inverse logit | −26.0654 | 0.0000 | |
| Modified inv. | Pm | 42.6119 | 0.0000 |
Note: For the two statistics Z and L*; if the realization is lower than the normal law level (−1.64 at the 5 percent significance level), rejects the null hypothesis
Source: Calculated by the authors using unit-root test on Stata 14