TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Annexes<br />
Variable<br />
swfr<br />
140<br />
Table B.3 – Unit root tests, ADF statistics -18 (1993:07-2003:12)<br />
n° of lags<br />
logs (diff. logs)<br />
n 12(11)<br />
c 12(11)<br />
c+t 12(11)<br />
c+s 12(0)<br />
c+t+s 12(0)<br />
hrw<br />
n 2(1)<br />
c 1(1)<br />
c+t 1(1)<br />
c+s 1(1)<br />
c+t+s 1(1)<br />
Logs Differentiated logs<br />
0.546<br />
(0.8343)<br />
-1.807<br />
(0.377)<br />
-2.245<br />
(0.464)<br />
-1.574<br />
(0.496)<br />
-2.113<br />
(0.537)<br />
0.272<br />
(0.765)<br />
-3.081<br />
(0.028)<br />
-3.102<br />
(0.106)<br />
-2.843<br />
(0.052)<br />
-2.853<br />
(0.178)<br />
-1.926<br />
(0.0516)<br />
-1.808<br />
(0.3772)<br />
-1.798<br />
(0.706)<br />
-8.327<br />
(0)<br />
-8.308<br />
(0)<br />
n= no constant; c= constant; c+ t=constant and trend; s= seasonal dummies included; p-values are based on<br />
MacKinnon (1996) and reported in parenthesis.<br />
Variable<br />
n° of lags<br />
logs (diff. logs)<br />
swfr 13(12)<br />
n<br />
c<br />
c+t<br />
hrw 2(1)<br />
n<br />
c<br />
c+t<br />
Table B.4 – Unit root tests, PP statistics (1978:12-2003:12)<br />
n= no constant; c= constant; c+ t=constant and trend<br />
-7.950<br />
(0)<br />
-7.928<br />
(0)<br />
-7.9023<br />
(0)<br />
-7.269<br />
(0)<br />
-7.246<br />
(0)<br />
5% critical values Logs Differentiated logs<br />
-8.000<br />
-1.950<br />
-14.000<br />
-2.878<br />
-21.339<br />
-3.428<br />
-8.000<br />
-1.950<br />
-14.000<br />
-2.878<br />
-21.339<br />
-3.428<br />
0.013<br />
0.107<br />
-9.253<br />
-2.160<br />
-24.587<br />
-3.503<br />
0.049<br />
0.229<br />
-14.941<br />
-2.814<br />
-15.387<br />
-2.871<br />
-180.846<br />
-16.087<br />
-180.937<br />
-16.044<br />
-181.209<br />
-15.997<br />
-209.427<br />
-12.582<br />
-209.561<br />
-12.567<br />
-209.646<br />
-12.550