Table 3. Unit root tests Variables Test...

Table 3.

Unit root tests

Variables	Test	Levels	First difference	Level	First difference
INF	ADF	−4.580*	–	−5.586*	–
	PP	−4.515*	–	−5.017*	–
	KPSS	0.389 (5)	–	0.087 (5%)	–
CMR	ADF	−3.381**	–	−3.577**	–
	PP	−3.280**	–	−3.502***	–
	KPSS	0.267 (5)	–	0.161 (1)	–
GDPFC	ADF	−5.956*	–	−8.164*	–
	PP	−6.096*	–	−8.209*	–
	KPSS	0.604 (1)	–	0.064 (5)	–
GFD	ADF	−2.565	−6.718*	−2.465	−6.895*
	PP	−2.435	−7.709*	−2.428	−7.907*
	KPSS	0.804**	0.215 (5)	0.173**	0.071 (5)
GFDD	ADF	−1.874	−7.455*	−2.152	−7.554*
	PP	−1.829	−7.536*	−2.021	−7.677*
	KPSS	0.934*	0.229 (5)	0.167**	0.058 (5)
TO	ADF	−1.046	−5.443*	−1.479	−5.414*
	PP	−1.123	−5.484*	−1.924	−5.459*
	KPSS	0.785*	0.104 (5)	0.178**	0.105 (5)
OPI	ADF	−6.344*	–	−6.452*	–
	PP	−6.327*	–	−6.450*	–
	KPSS	0.153 (5)	–	0.085 (5)	–

Variables	Test	Levels	First difference	Level	First difference
INF	ADF	−4.580*	–	−5.586*	–
	PP	−4.515*	–	−5.017*	–
	KPSS	0.389 (5)	–	0.087 (5%)	–
CMR	ADF	−3.381**	–	−3.577**	–
	PP	−3.280**	–	−3.502***	–
	KPSS	0.267 (5)	–	0.161 (1)	–
GDPFC	ADF	−5.956*	–	−8.164*	–
	PP	−6.096*	–	−8.209*	–
	KPSS	0.604 (1)	–	0.064 (5)	–
GFD	ADF	−2.565	−6.718*	−2.465	−6.895*
	PP	−2.435	−7.709*	−2.428	−7.907*
	KPSS	0.804**	0.215 (5)	0.173**	0.071 (5)
GFDD	ADF	−1.874	−7.455*	−2.152	−7.554*
	PP	−1.829	−7.536*	−2.021	−7.677*
	KPSS	0.934*	0.229 (5)	0.167**	0.058 (5)
TO	ADF	−1.046	−5.443*	−1.479	−5.414*
	PP	−1.123	−5.484*	−1.924	−5.459*
	KPSS	0.785*	0.104 (5)	0.178**	0.105 (5)
OPI	ADF	−6.344*	–	−6.452*	–
	PP	−6.327*	–	−6.450*	–
	KPSS	0.153 (5)	–	0.085 (5)	–

Notes:

*; ** and *** denotes the rejection of null hypothesis against an alternative at 1%, 5% and 10% level of significance. C and C + T refer to two alternative specifications denoting constant only and constant and a linear trend, respectively. ADF is Augmented Dickey–Fuller test (Dickey and Fuller, 1979), PP represents the Philips–Perron test (Philips and Perron, 1988) and KPSS denotes the Kwiatkowski et al. (1992) stationarity test. Schwarz information criteria is applied to choose the appropriate lag length for ADF test and Newey – West automatic selection procedure is used to choose the bandwidths for PP and KPSS tests

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