TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
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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.5 – Unit root tests, PP statistics (1978:12-1993:06)<br />
n= no constant; c= constant; c+ t=constant and trend<br />
Variable<br />
n° of lags<br />
logs (diff. logs)<br />
swfr 2(1)<br />
n<br />
c<br />
c+t<br />
hrw 2(1)<br />
n<br />
c<br />
c+t<br />
Annexes<br />
5% critical values Logs Differentiated logs<br />
-7.949<br />
-1.950<br />
-13.848<br />
-2.885<br />
-20.996<br />
-3.440<br />
-7.949<br />
-1.950<br />
-13.848<br />
-2.885<br />
-20.996<br />
-3.440<br />
0.036<br />
0.620<br />
-25.548<br />
-3.883<br />
-25.669<br />
-3.863<br />
-0.006<br />
-0.041<br />
-5.894<br />
-1.738<br />
-8.467<br />
-2.338<br />
Table B.6 – Unit root tests, PP statistics (1993:07-2003:12)<br />
n= no constant; c= constant; c+ t=constant and trend<br />
-101.352<br />
-15.626<br />
-101.061<br />
-15.688<br />
-100.736<br />
-15.706<br />
-113.330<br />
-9.180<br />
-113.333<br />
-9.152<br />
-114.695<br />
-9.218<br />
5% critical values Logs Differentiated logs<br />
-7.917<br />
-1.950<br />
-13.750<br />
-2.888<br />
-20.800<br />
-3.447<br />
-7.917<br />
-1.950<br />
-13.750<br />
-2.888<br />
-20.800<br />
-3.447<br />
0.055<br />
0.503<br />
-9.682<br />
-1.988<br />
-13.062<br />
-2.082<br />
0.043<br />
0.301<br />
-13.225<br />
-2.641<br />
-13.508<br />
-2.646<br />
-93.872<br />
-8.619<br />
-94.210<br />
-8.607<br />
-94.528<br />
-8.597<br />
-90.899<br />
-8.267<br />
-91.014<br />
-8.239<br />
-91.024<br />
-8.207<br />
141
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