26
Table A2
Augmented Dickey-Fuller unit root tests, Germany
|
Series |
West Germany, 1985:1-1998:4 |
Germany, 1993:1-2004:4 | ||
|
Levels |
First differences |
Levels |
First differences | |
|
GDP |
-1.49 |
-2.35 |
-1.92 |
-7.30*** |
|
U |
-2.35 |
-2.44 |
-1.68 |
-3.60*** |
|
π |
-1.05 |
-10.74*** |
-3.57** |
-11.06*** |
|
π2 |
-1.50 |
-4.54*** |
-2.28 |
-7.43*** |
|
π3 |
-0.87 |
-4.80*** |
-1.72 |
-2.60* |
|
π4 |
-1.91 |
-1.27 |
-2.44 |
-3.42** |
|
S^ee |
-1.51 |
-11.05*** |
-6.81*** |
-10.79*** |
|
sDff |
-1.17 |
-9.83*** |
-3.88** |
-10.72*** |
|
S^om |
-7.26*** |
-2.51 |
-10.43*** |
-6.15*** |
|
^WMecd |
-5.94*** |
-9.05*** |
-7.05*** |
-11.99*** |
|
S‘r 20 |
-5.82*** |
_______-8.63*** |
-7.26** |
-11.08*** |
Notes: 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.
Table A3:
KPSS unit root tests, Germany
|
Series |
West Germany, 1985:1-1998:4 |
Germany, 1993:1-2004:4 | ||
|
Levels |
First differences |
Levels |
First difference | |
|
GDP |
0.19** |
0.24 |
0.12* |
0.11 |
|
U |
0.20** |
0.25 |
0.16** |
0.43* |
|
∏ |
0.23*** |
0.12 |
0.25*** |
0.11 |
|
π2 |
0.23*** |
0.17 |
0.25*** |
0.42* |
|
π3 |
0.23*** |
0.29 |
0.25*** |
0.53** |
|
π4 |
0.23*** |
0.29 |
0.22*** |
0.51** |
|
S^ee |
0.18** |
0.09 |
0.17** |
0.06 |
|
saif |
0.14* |
0.12 |
0.10 |
0.04 |
|
$Мот |
0.10 |
0.05 |
0.03 |
0.11 |
|
sWMecd |
0.15** |
0.06 |
0.19** |
0.08 |
|
S' 20 |
0.16** |
__________0.05________ |
0.19** |
_________0.06________ |
Notes: 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 in-
cludes a time trend. The null hypothesis states that the time series is (trend-) stationary. The test statis-
tics 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.