K. Ludi: consumption behaviour in Zambia
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Appendix B
Cointegration Unit Root Test
• H0: no cointegration (non-stationary residuals)
H1: cointegration (stationary residuals)
• Reject H0 if ADF ≤ critical value
Table 11: MacKinnon critical values for the ADF test (T = 31)
|
n |
Model |
% |
Φ∞ |
Φ1 |
Φ2 |
C(p) |
|
3 |
constant, no trend |
1 |
-4.2981 |
-13.79 |
-46.37 |
-4.79119 |
|
5 |
-3.7429 |
-8.352 |
-13.41 |
-4.02627 | ||
|
..............10............. |
...........-3.4518........ |
-6.241 |
-2.79 |
.......-3.65603....... | ||
|
3 |
constant, + trend |
1 |
-4.6678 |
-18.492 |
-49.35 |
-5.31567 |
|
5 |
-4.1193 |
-12.024 |
-13.13 |
-4.52083 | ||
|
10 |
-3.8344 |
-9.188 |
-4.85 |
-4.13583 |
Source: Own summary
• ADF = -4.282 (constant, no trend)
ADF = -4.234 (constant, + trend)
• ADF is statistically significant at a 5 per cent level of significance in the case of
‘constant, no trend’ and at a 10 per cent of significance in the case of ‘constant, +
trend’.
• Reject H0
• The residuals are stationary → there is cointegration