Table 2 Variable unit root test.

From: Assessing the extent and persistence of major crisis events in the crude oil market and economy: evidence from the past 30 years

Variable

ADF test

PP test

Result

MCE

−18.641***

−18.685***

I (0)

Price

−1.996

−2.536

I (1)

D.lnPrice

−15.238 ***

−14.848 ***

OP

−1.333

−1.262

I (1)

D.lnOP

−20.886 ***

−20.993 ***

S&P500

0.434

0.629

I (1)

D.lnS&P500

−20.013***

−20.022***

OECD + 6IPI

−0.162

−0.280

I (1)

D.lnOECD+6IPI

−17.090***

−17.340***

USIPI

−1.614

−1.600

I (1)

D. ln USIPI

−16.303***

−16.123***

USCPI

2.533

1.624

I (1)

D. ln USCPI

−11.538***

−11.166***

ChinaIPI

−1.647

0.356

I (1)

D. ln ChinaIPI

−32.993***

−56.367***

ChinaCPI

−1.635

−1.467

I (1)

D. ln ChinaCPI

−13.931***

−13.850***

  1. D. indicates the first-order difference; *, **, *** indicate the significance level of 10%, 5% and 1%, respectively.
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