Table 2
Russia: summary results for unit root tests1
|
Variable |
ADF(k)2 |
P-Value |
S/N3 |
Phillips-Perron(b)4 |
P-Value |
S/N |
|
log(e) |
-1.90(1) |
0.32 |
N |
-1.82(4) |
0.37 |
N |
|
∆log(REER) |
-6.58(0) |
0.00 |
S |
-6.55(2) |
0.00 |
S |
|
log(TOT) |
-3.00(0) |
0.14 |
N |
-2.85(3) |
0.18 |
N |
|
∆log(TOT) |
-11.27(0) |
0.00 |
S |
-11.33(1) |
0.00 |
S |
|
FLOW |
-1.44(0) |
0.56 |
N |
-1.72(3) |
0.73 |
N |
|
∆FLOW |
-9.11(0) |
0.00 |
S |
-9.11(3) |
0.00 |
S |
|
log(OPEN) |
-1.99(0) |
0.60 |
N |
-2.15(4) |
0.50 |
N |
|
∆log(OPEN) |
-5.68(5) |
0.00 |
S |
-9.12(3) |
0.00 |
S |
|
log(GOV) |
-0.64(11) |
0.43 |
N |
-8.62(1) |
0.00 |
S |
|
∆log(GOV) |
-5.28(10) |
0.00 |
S |
-43.31(8) |
0.00 |
S |
|
log(NEER) |
-1.78(1) |
0.70 |
N |
-1.77(4) |
0.71 |
N |
|
∆log(NEER) |
-7.02(0) |
0.00 |
S |
-7.04(3) |
0.00 |
S |
|
log(DCRE) |
-2.29(3) |
0.17 |
N |
-2.20(5) |
0.20 |
N |
|
∆log(DCRE) |
-2.30(11) |
0.02 |
S |
-11.20(5) |
0.00 |
S |
1 Test Equations were chosen with or without intercept and/or trend terms depending on the
P-value of the t-statistics in the test equation.
2 k is the lag length chosen by Schwartz Information criterion from a maximum length of 12.
3 S is ‘stationary’ and N is ‘non-stationary’, as indicated by the corresponding test statistic at
5% level of significance.
4 b is the bandwidth chosen by the Newey-West bandwidth criterion.
Tables 1 and 2 indicate that the series are either stationary or difference stationary. The real
exchange rate is found to be difference stationary for both countries, and the macroeconomic
19
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