Table A2 Stationarity model validation...

Table A2

Stationarity model validation tests, H₀: panels contain unit roots

No	Variable	Breitung (2000)	Levin et al. (2002)	Im et al. (2003)
No	Variable	$ϕ_{i} = ϕ$	$ϕ_{i} = ϕ$	$ϕ_{i} \neq ϕ$
1	Residuals	−11.6964	−12.5961	−12.7310
1	Residuals	(0.0000***)	(0.0000***)	(0.0000***)
2	Trade intensity	−2.3765	−2.982	−7.5406
2	Trade intensity	(0.0087***)	(0.0014***)	(0.0000***)
3	Interest rate differential	−0.9032	−5.0316	−7.9342
3	Interest rate differential	(0.1832)	(0.0000***)	(0.0000***)
4	VIX	−3.5622	−5.6630	−8.0845
4	VIX	(0.0002***)	(0.0002***)	(0.0000***)
5	Geopolitical risk	−13.6369	−9.6705	−14.6616
5	Geopolitical risk	(0.0000***)	(0.0000***)	(0.0000***)

No	Variable	Breitung (2000)	Levin et al. (2002)	Im et al. (2003)
No	Variable	$ϕ_{i} = ϕ$	$ϕ_{i} = ϕ$	$ϕ_{i} \neq ϕ$
1	Residuals	−11.6964	−12.5961	−12.7310
1	Residuals	(0.0000***)	(0.0000***)	(0.0000***)
2	Trade intensity	−2.3765	−2.982	−7.5406
2	Trade intensity	(0.0087***)	(0.0014***)	(0.0000***)
3	Interest rate differential	−0.9032	−5.0316	−7.9342
3	Interest rate differential	(0.1832)	(0.0000***)	(0.0000***)
4	VIX	−3.5622	−5.6630	−8.0845
4	VIX	(0.0002***)	(0.0002***)	(0.0000***)
5	Geopolitical risk	−13.6369	−9.6705	−14.6616
5	Geopolitical risk	(0.0000***)	(0.0000***)	(0.0000***)

Note(s): ***1%, statistical significance. Equation (5) refers: ϕ_i = ϕ means that a common autoregressive coefficient for all panels is assumed while ϕ_i ≠ ϕ means panel-specific autoregressive coefficients are assumed

Source(s): Author's computations

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