TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
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Annexes<br />
146<br />
Table D.4 – Unit root tests on the price spread, PP statistics (1978:12-2003:12)<br />
Spread n° of lags 5%critical values PP statistics<br />
n 2<br />
c 2<br />
n= no constant; c= constant<br />
-8.000<br />
-1.950<br />
-14.000<br />
-2.878<br />
Table D.5 – Unit root tests on the price spread, PP statistics (1978:12-1993:06)<br />
-11.519<br />
-2.455<br />
-11.704<br />
-2.482<br />
Spread n° of lags 5%critical values PP statistics<br />
n 1<br />
c 1<br />
n= no constant; c= constant<br />
-7.949<br />
-1.950<br />
-13.848<br />
-2.885<br />
Table D.6 – Unit root tests on the price spread, PP statistics (1993:07-2003:12)<br />
-4.671<br />
-1.403<br />
-5.916<br />
-1.625<br />
Spread n° of lags 5%critical values PP statistics<br />
n 2<br />
c 2<br />
n= no constant; c= constant<br />
-7.917<br />
-1.950<br />
-13.750<br />
-2.888<br />
Table D.7 – Unit root tests on the price spread, KPSS statistics (1978:12-2003:12)<br />
-3.280<br />
-1.388<br />
-9.194<br />
-2.143<br />
Spread n°of lags 5% critical value KPSS statistics<br />
c 24 0.463 0.455<br />
c= constant
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