Appendix A: Unit root tests
Table A1
Unit root tests, USA (1978:1-2006:4)
Series |
Augmented Dickey- Fuller |
KPSS | ||
Levels |
First differences |
Levels |
First differences | |
GDP |
-3.07 |
-4.07*** |
0.05 |
0.04 |
U |
-3.74** |
-4.68*** |
0.06 |
0.07 |
π |
-2.51 |
-12.41*** |
0.19** |
0.07 |
π2 |
-3.95** |
-2.63* |
0.20** |
0.05 |
∏ |
-4.04** |
-4.09*** |
0.20** |
0.08 |
π4 |
-3.45* |
-3.30** |
0.20** |
0.13 |
π5 |
-3.78** |
-4.18*** |
0.20** |
0.14 |
π6 |
-4.36*** |
-2.48 |
0.20** |
0.20 |
π7 |
-3.57** |
-3.23** |
0.20** |
0.25 |
πs |
-2.88 |
-3.70*** |
0.20** |
0.31 |
sMeed |
-4.79*** |
-5.64*** |
0.11 |
0.17 |
sDff |
-7.56*** |
-5.59*** |
0.11 |
0.13 |
S^Mom |
-4.06*** |
-10.49*** |
0.06 |
0.13 |
sWMeed |
-2.83 |
-5.37*** |
0.09 |
0.08 |
Sr 20 |
-4.30*** |
-5.33*** |
0.14* |
0.03 |
Notes: For the ADF tests, the lag length is automatically selected based on AIC. The only exogenous
variable in the first-differenced model is a constant, while the test in levels also includes a time trend.
The null hypothesis states that the time series has a unit root. The test statistics are compared with
MacKinnon (1996) one-sided p-values. *** (**) (*) denotes rejection of the null hypothesis at the 0.99
(0.95) (0.90) level.
For the KPSS tests, the bandwidth is automatically selected based on a Newey-West using a Bartlett
kernel. The only exogenous variable in the first-differenced model is a constant, while the test in levels
also includes a time trend. The null hypothesis states that the time series is (trend-) stationary. The test
statistics are compared with the critical values from Kwiatkowski-Phillips-Schmidt-Shin (1992, Table
1). *** (**) (*) denotes rejection of the null hypothesis at the 0.99 (0.95) (0.90) level.
More intriguing information
1. Fiscal Insurance and Debt Management in OECD Economies2. The Cost of Food Safety Technologies in the Meat and Poultry Industries.
3. Competition In or For the Field: Which is Better
4. Towards a framework for critical citizenship education
5. The name is absent
6. The name is absent
7. Policy Formulation, Implementation and Feedback in EU Merger Control
8. Government spending composition, technical change and wage inequality
9. Trade Openness and Volatility
10. Accurate and robust image superresolution by neural processing of local image representations