Table 3. Results of unit root tests...

Table 3.

Results of unit root tests

Variables	ADF unit root with break test		Philips-Perron test
Variables	Intercept	Trend and intercept	Intercept	Trend and intercept
lnRES
Level	−3.63	−3.99	−2.89**	−2.74
First difference	−6.96***	−6.77***	–6.82***	−7.14***
Volex_POS
Level	−1.68	−3.02	0.25	−1.96
First difference	−5.23***	−5.79***	−3.85***	−3.82**
Volex_NEG
Level	−4.44**	−43.5***	−0.03	−1.52
First difference	–	–	−5.45***	−5.61***
Voler_POS
Level	−3.59	−11.77***	−0.35	−2.63
First difference	−12.72***	–	−6.32***	−6.21***
Voler_NEG
Level	−2.19	−4.54	0.50	−2.40
First difference	−7.61***	−6.23***	−5.91***	−5.79***
lnPCI
Level	−3.02	−4.55	−1.23	−3.31***
First difference	−8.06***	−7.43***	−13.62***	–
lnSTD
Level	−3.85	−4.32	−2.32	−2.35
First difference	−6.67***	−6.94***	−7.33***	−8.47***
Volimp_POS
Level	−1.12	−3.79	1.23	−2.44
First difference	−7.71***	−7.71***	−6.27***	−7.06***
Volimp_NEG
Level	−2.30	−3.78	1.21	−1.63
First difference	−6.65***	−6.64***	−5.22***	−5.58***
InOILP
Level	−3.51	−4.66*	−0.99	−2.01
First difference	−6.32***	−6.43***	−5.27***	−5.15***

Variables	ADF unit root with break test		Philips-Perron test
Variables	Intercept	Trend and intercept	Intercept	Trend and intercept
lnRES
Level	−3.63	−3.99	−2.89**	−2.74
First difference	−6.96***	−6.77***	–6.82***	−7.14***
Volex_POS
Level	−1.68	−3.02	0.25	−1.96
First difference	−5.23***	−5.79***	−3.85***	−3.82**
Volex_NEG
Level	−4.44**	−43.5***	−0.03	−1.52
First difference	–	–	−5.45***	−5.61***
Voler_POS
Level	−3.59	−11.77***	−0.35	−2.63
First difference	−12.72***	–	−6.32***	−6.21***
Voler_NEG
Level	−2.19	−4.54	0.50	−2.40
First difference	−7.61***	−6.23***	−5.91***	−5.79***
lnPCI
Level	−3.02	−4.55	−1.23	−3.31***
First difference	−8.06***	−7.43***	−13.62***	–
lnSTD
Level	−3.85	−4.32	−2.32	−2.35
First difference	−6.67***	−6.94***	−7.33***	−8.47***
Volimp_POS
Level	−1.12	−3.79	1.23	−2.44
First difference	−7.71***	−7.71***	−6.27***	−7.06***
Volimp_NEG
Level	−2.30	−3.78	1.21	−1.63
First difference	−6.65***	−6.64***	−5.22***	−5.58***
InOILP
Level	−3.51	−4.66*	−0.99	−2.01
First difference	−6.32***	−6.43***	−5.27***	−5.15***

Note(s): This table presents the results of unit root tests. Both ADF unit root with break test and Philips-Perron tests are used to test the stationary property of all the variables used in this paper. Finally, ***, ** and * indicate the level of significance rejecting null hypothesis at the 1, 5 and 10% levels, respectively

Source(s): Table by authors’

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