TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
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Annex D – Unit root tests on the price spread<br />
Annexes<br />
Table D.1 – Unit root tests on the price spread, ADF statistics (1978:12-2003:12)<br />
Spread n° of lags ADF statistics<br />
n 2<br />
c 2<br />
c+s 2<br />
n= no constant; c= constant; s= seasonal dummies included; p-values are based on MacKinnon (1996) and<br />
reported in parenthesis<br />
Table D.2 – Unit root tests on the price spread, ADF statistics (1978:12-1993:06)<br />
-2.464<br />
(0.132)<br />
-2.495<br />
(0.117)<br />
-2.416<br />
(0.137)<br />
Spread n° of lags ADF statistics<br />
n 1<br />
c 1<br />
c+s 1<br />
n= no constant; c= constant; s= seasonal dummies included; p-values are based on MacKinnon (1996) and<br />
reported in parenthesis<br />
Table D.3 – Unit root tests on the price spread, ADF statistics (1993:07-2003:12)<br />
-1.615<br />
(0.100)<br />
-1.829<br />
(0.366)<br />
-1.654<br />
(0.455)<br />
Spread n° of lags ADF statistics<br />
n 2<br />
c 2<br />
c+s 2<br />
n= no constant; c= constant; s= seasonal dummies included; p-values are based on MacKinnon (1996) and<br />
reported in parenthesis<br />
-1.934<br />
(0.051)<br />
-3.658<br />
(0.005)<br />
-3.449<br />
(0.009)<br />
145
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