Table 1 ADF unit root tests Variables... | Emerald Publishing

Table 1

ADF unit root tests

Variables	Form	ADF statistics	10% critical value	Stationary
Full-sample: 1/02/2012 12/31/2021
EXC	Level	−2.432	−2.567	N
BON	Level	−2.321	−2.567	N
JCI	Level	−1.797	−2.567	N
EXC	First difference	−12.926	−2.567	Y
BON	First difference	−40.269	−2.567	Y
JCI	First difference	−15.043	−2.567	Y
Subsample: 1/01/2020 12/31/2021
EXC	Level	−3.884	−2.570	Y
BON	Level	−1.797	−2.570	N
JCI	Level	−1.471	−2.570	N
EXC	First difference	−4.755	−2.570	Y
BON	First difference	−6.659	−2.570	Y
JCI	First difference	−8.358	−2.570	Y

Variables	Form	ADF statistics	10% critical value	Stationary
Full-sample: 1/02/2012 12/31/2021
EXC	Level	−2.432	−2.567	N
BON	Level	−2.321	−2.567	N
JCI	Level	−1.797	−2.567	N
EXC	First difference	−12.926	−2.567	Y
BON	First difference	−40.269	−2.567	Y
JCI	First difference	−15.043	−2.567	Y
Subsample: 1/01/2020 12/31/2021
EXC	Level	−3.884	−2.570	Y
BON	Level	−1.797	−2.570	N
JCI	Level	−1.471	−2.570	N
EXC	First difference	−4.755	−2.570	Y
BON	First difference	−6.659	−2.570	Y
JCI	First difference	−8.358	−2.570	Y

Source(S): Authors’ calculations