Table 6 Unit root test.
Variable | Test method | At level | At 1st difference | ||
|---|---|---|---|---|---|
t-statistic | Prob. | t-statistic | Prob. | ||
\({\bf{ln}}{\bf{MCEE}}\) | LLC | −2.050** | 0.020 | −7.041*** | 0.000 |
IPS | 0.028 | 0.511 | −4.415*** | 0.000 | |
Fisher-ADF | 70.445 | 0.127 | 124.556*** | 0.000 | |
Fisher-PP | 64.680 | 0.255 | 151.030*** | 0.000 | |
\({\bf{ln}}{\bf{CS}}\) | LLC | −6.167*** | 0.000 | −4.545*** | 0.000 |
IPS | 0.785 | 0.784 | −2.150** | 0.016 | |
Fisher-ADF | 57.232 | 0.504 | 102.816*** | 0.000 | |
Fisher-PP | 50.173 | 0.758 | 85.296** | 0.011 | |
\({\bf{ln}}{\bf{E}}{\bf{E}}\) | LLC | 3.486 | 1.000 | −11.118*** | 0.000 |
IPS | 4.997 | 1.000 | −5.051*** | 0.000 | |
Fisher-ADF | 26.774 | 1.000 | 135.071*** | 0.000 | |
Fisher-PP | 31.286 | 0.998 | 153.251*** | 0.000 | |
\({\bf{l}}{\bf{nP}}{\bf{S}}\) | LLC | 2.785 | 0.997 | −12.721*** | 0.000 |
IPS | 4.172 | 1.000 | −6.484*** | 0.000 | |
Fisher-ADF | 34.405 | 0.994 | 161.772*** | 0.000 | |
Fisher-PP | 30.818 | 0.999 | 182.264*** | 0.000 | |
\({\bf{ln}}{\bf{M}}{\bf{C}}\) | LLC | −4.570*** | 0.000 | −13.025*** | 0.000 |
IPS | −2.607*** | 0.005 | −5.964*** | 0.000 | |
Fisher-ADF | 88.916*** | 0.006 | 153.430*** | 0.000 | |
Fisher-PP | 77.471** | 0.045 | 171.996*** | 0.000 | |
\({\bf{l}}{\bf{nE}}{\bf{R}}\) | LLC | −4.726*** | 0.000 | −8.460*** | 0.000 |
IPS | −1.588* | 0.056 | −5.210*** | 0.000 | |
Fisher-ADF | 71.076 | 0.116 | 136.283*** | 0.000 | |
Fisher-PP | 62.364 | 0.324 | 127.925*** | 0.000 | |
\({\bf{l}}{\bf{nR}}{\bf{D}}\) | LLC | −3.734*** | 0.000 | −10.701*** | 0.000 |
IPS | 0.325 | 0.627 | −4.924*** | 0.000 | |
Fisher-ADF | 66.038 | 0.219 | 130.201*** | 0.000 | |
Fisher-PP | 63.488 | 0.289 | 138.770*** | 0.000 | |
\({\bf{l}}{\bf{n}}{\bf{OPEN}}\) | LLC | −9.247*** | 0.000 | −10.647*** | 0.000 |
IPS | −3.601*** | 0.000 | −5.196*** | 0.000 | |
Fisher-ADF | 104.674*** | 0.000 | 138.137*** | 0.000 | |
Fisher-PP | 133.871*** | 0.000 | 137.968*** | 0.000 | |
