|
Table A.3 : Unit : |
root and |
trend stationarity tests for |
the extended |
Nelson- |
Plosser data | |||||||||
|
Test : |
Phillips |
Bierens-Guo Cauchy |
tests |
(abs. values) |
Bierens' |
higher-order sample | ||||||||
|
- |
Perron |
autocorrelation t |
ests (* |
=detr.) | ||||||||||
|
Variable |
n |
PPl |
PP2 |
BGl |
BG2 |
BG3 |
BG4 |
BG5 |
BG6 |
B(1,1) |
B(2,2) B |
* (1, D |
B*(2,2) |
concl. |
|
LN[CPI] |
129 |
2.29 |
-0.79 |
51.24 |
71.10 |
54.85 |
25.64 |
16.69 |
20.67 |
-16641 |
-6.15 |
-1.68 |
-8.49 |
UR? |
|
LN[GNPDEFL] |
100 |
1.43 |
-5.12 |
62.54 |
89.62 |
125.46 |
51.56 |
36.05 |
7.46 |
-10000 |
-3.85 |
-3.24 |
-9.71 |
UR? |
|
LN[EMPLOY] |
99 |
-0.27 |
-10.87 |
56.07 |
98.98 |
73.78 |
71.74 |
0.47 |
0.47 |
-0.86 |
-4.73 |
-43.20 |
-45.25 |
TST |
|
LN[UNEMPLOY] |
99 |
-21.35 |
-21.49 |
1.58 |
1.58 |
1.66 |
1.68 |
0.68 |
3.50 |
-2057 |
-2121 |
-2067 |
-2136 |
TST |
|
LN[GNP] |
80 |
0.56 |
-5.22 |
42.90 |
79.67 |
116.43 |
69.42 |
11.60 |
181.97 |
-0.04 |
-4.40 |
-2.87 |
-4.48 |
UR |
|
LN[GNPPCAP] |
80 |
0.16 |
-9.66 |
39.78 |
80.00 |
24.51 |
27.90 |
2.72 |
1.26 |
-0.91 |
-4.21 |
-90.71 |
-93.55 |
TST |
|
LN[RealGNP] |
80 |
0.17 |
-9.12 |
40.97 |
80.00 |
70.56 |
79.91 |
3.87 |
1.33 |
-0.27 |
-3.21 - |
133.33 |
-137.51 |
TST |
|
LN[WAGE] |
89 |
0.47 |
-6.96 |
46.26 |
88.80 |
148.13 |
76.72 |
10.08 |
5.60 |
-0.01 |
-3.22 |
-5.89 |
-8.93 |
UR |
|
LN[RealWAGE] |
89 |
-0.73 |
-4.95 |
35.04 |
88.29 |
60.68 |
49.80 |
9.55 |
1.64 |
-0.63 |
-1.82 |
-10.79 |
-26.87 |
? |
|
LN[INDPROD] |
129 |
-0.48 |
-16.99 |
81.62 |
128.75 |
128.77 |
151.27 |
7.07 |
1.70 |
-0.67 |
-3.48 |
-16641 |
-16641 |
TST |
|
LN[MONEY] |
100 |
0.22 |
-9.21 |
60.68 |
99.99 |
421.71 |
158.28 |
6.00 |
2.14 |
-0.08 |
-3.58 |
-10.31 |
-14.18 |
? |
|
INTEREST |
89 |
-1.52 |
-4.39 |
112.42 |
86.44 |
5.12 |
5.03 |
24.49 |
4.64 |
-7921 |
-16.32 |
-1.80 |
-27.37 |
? |
|
LN[STOCKPR] |
118 |
1.42 |
-6.50 |
84.65 |
115.95 |
27.10 |
29.56 |
17.55 |
7.67 |
-13924 |
-5.51 |
-2.92 |
-5.66 |
UR? |
|
LN[VELOCITY] |
120 |
-4.19 |
-2.82 |
9.23 |
10.25 |
8.19 |
14.18 |
21.56 |
46.71 |
-3.20 |
-3.26 |
-2.08 |
-5.47 |
UR |
|
LN[RealM] |
100 |
-1.09 |
-7.66 |
54.73 |
97.32 |
188.25 |
195.08 |
8.44 |
5.17 |
-0.97 |
-3.81 |
-14.87 |
-19.14 |
TST? |
|
RealINTEREST |
89 |
-29.23 |
-29.30 |
4.03 |
4.03 |
4.05 |
4.05 |
0.39 |
0.81 |
-7921 |
-7921 |
-7921 |
-7921 |
ST |
|
INFLATION |
128 |
-46.30 |
-40.10 |
1.53 |
1.53 |
1.60 |
1.63 |
0.42 |
1.44 |
-13.63 |
-15.90 |
-17.91 |
-19.53 |
ST |
|
5% R.R. |
<-14.0 |
<-21.5 |
>12.71 |
>12.71 |
>12.71 |
>12.71 |
>12.71 |
>12.71 |
<-14.0 |
<-15.7 |
<-20.6 |
<-22.4 | ||
|
10% R.R. |
<-ll .2 |
<-18.1 |
>6.31 |
>6.31 |
>6.31 |
>6.31 |
>6.31 |
>6.31 |
<-ll .2 |
<-13.1 |
<-17.1 |
<-18.9 | ||
|
H0: |
UR |
UR |
ST |
ST |
ST |
ST |
TST |
TST |
UR |
UR |
UR |
UR | ||
|
H1: |
ST |
TST |
UR |
UR |
UR |
UR |
UR |
UR |
ST |
ST |
TST |
TST | ||
|
Remarks : The |
first two test are |
the Phillips- |
Perron t |
ests Za |
of the |
null hypothesis |
H0: y(t) |
= y(t- |
■1) + u (t) , E [u (t) ] | |||||
|
0, u(t) is alpha |
-mixing, |
against |
the alternatives y(t |
) = c + |
u(t) and y(t) |
= c + b. |
t + u(t) |
, respectively. |
. The next s | |||||
|
tests are the |
Bierens-Guc |
'zs (1993) tests of the null |
hypothe |
sis H0: |
y(t) = |
c (+ d.t |
) + u(t), |
, E[u(t)]=0, u( |
t) is alpha- | |||||
mixing, against the unit root (with drift) hypothesis. The Phillips-Perron tests and Bierens-GuozS test no. 4 employ a
Newey and West (1987) type variance estimator with truncation parameter m = [5n0,2] . The last four tests are Bierens
(1993) unit root tests on the basis of higher order sample autocorrelations. The first two test the unit root hypothesis
against stationarity, and the last two have as alternative linear trend stationarity. These four tests depend on
parameters μ > O, a > O, and O < δ < 1, and the lag length is: m = 1+[αnδμz∙3μ+21 ] . The default values μ = 2, a = 5 and δ
= .5 are employed.
60
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