Results of ADF and PP unit root tests of the variables in level and first difference
| GDP | REER | G | M | Poil | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| ADF | PP | ADF | PP | ADF | PP | ADF | PP | ADF | PP | |
| Unit root tests of variables in levels | ||||||||||
| Constant | −1.29 (0.62) | −1.41 (0.57) | −3.63*** (0.007) | −2.82* (0.06) | −2.23 (0.19) | −2.68* (0.08) | −1.37 (0.58) | −1.58 (0.48) | −1.80 (0.37) | −1.86 (0.34) |
| Constant and Trend | −1.59 (0.78) | −1.23 (0.89) | −4.29*** (0.006) | −3.11 (0.11) | −2.67 (0.25) | −2.45 (0.34) | −1.30 (0.87) | −1.12 (0.91) | −1.93 (0.62) | −1.93 (0.62) |
| Unit root tests of variables in first difference | ||||||||||
| Constant | −4.58*** (0.00) | −4.59*** (0.00) | −5.88*** (0.00) | −5.66*** (0.00) | −5.95*** (0.00) | −5.98*** (0.00) | −4.99*** (0.00) | −4.97*** (0.00) | −6.65*** (0.00) | −6.60*** (0.00) |
| Constant and Trend | −4.73*** (0.00) | −4.74*** (0.00) | −55.83*** (0.00) | −5.79*** (0.00) | −6.26*** (0.00) | −6.26*** (0.00) | −5.11*** (0.00) | −5.04*** (0.00) | −6.68*** (0.00) | −6.63*** (0.00) |
| GDP | REER | G | M | Poil | ||||||
|---|---|---|---|---|---|---|---|---|---|---|
| ADF | PP | ADF | PP | ADF | PP | ADF | PP | ADF | PP | |
| Constant | −1.29 (0.62) | −1.41 (0.57) | −3.63*** (0.007) | −2.82* (0.06) | −2.23 (0.19) | −2.68* (0.08) | −1.37 (0.58) | −1.58 (0.48) | −1.80 (0.37) | −1.86 (0.34) |
| Constant and Trend | −1.59 (0.78) | −1.23 (0.89) | −4.29*** (0.006) | −3.11 (0.11) | −2.67 (0.25) | −2.45 (0.34) | −1.30 (0.87) | −1.12 (0.91) | −1.93 (0.62) | −1.93 (0.62) |
| Constant | −4.58*** (0.00) | −4.59*** (0.00) | −5.88*** (0.00) | −5.66*** (0.00) | −5.95*** (0.00) | −5.98*** (0.00) | −4.99*** (0.00) | −4.97*** (0.00) | −6.65*** (0.00) | −6.60*** (0.00) |
| Constant and Trend | −4.73*** (0.00) | −4.74*** (0.00) | −55.83*** (0.00) | −5.79*** (0.00) | −6.26*** (0.00) | −6.26*** (0.00) | −5.11*** (0.00) | −5.04*** (0.00) | −6.68*** (0.00) | −6.63*** (0.00) |
Note(s): *, **, *** imply rejection of the null hypothesis at the 10%, 5% and 1% significance level, respectively. Lag length is based on SIC. P-values are in parenthesis. The null hypothesis is that the series is non-stationary
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.