TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
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Annexes<br />
148<br />
Annex E – Unit root tests on de-seasonalized time series<br />
Table E.1 – Unit root tests on de-seasonalized time series, ADF statistics -18 (1978:12-2003:12)<br />
Variable<br />
swfr<br />
n° of lags<br />
logs (diff. logs)<br />
n 12(11)<br />
c 12(11)<br />
c+t 12(11)<br />
hrw<br />
n 1(0)<br />
c 1(0)<br />
c+t 1(0)<br />
Logs Differentiated logs<br />
-0.179<br />
(0.622)<br />
-1.172<br />
(0.696)<br />
-2.552<br />
(0.302)<br />
0.182<br />
(0.739)<br />
-3.164<br />
(0.022)<br />
-3.241<br />
(0.076)<br />
-4.956<br />
(0)<br />
-4.929<br />
(0)<br />
-4.795<br />
(0)<br />
-12.729<br />
(0)<br />
-12.713<br />
(0)<br />
-12.699<br />
(0)<br />
n= no constant; c= constant; c+ t=constant and trend; p-values are based on MacKinnon (1996) and reported in<br />
parenthesis<br />
Table E.2 – Unit root tests on de-seasonalized time series, ADF statistics -18 (1978:12-1993:06)<br />
Variable<br />
swfr<br />
n° of lags<br />
logs (diff. logs)<br />
Logs Differentiated logs<br />
n 12(11)<br />
0.072<br />
(0.706)<br />
-3.486<br />
(0.0004)<br />
c 12(11)<br />
-2.118<br />
(0.238)<br />
-3.429<br />
(0.010)<br />
c+t<br />
hrw<br />
12(11)<br />
-2.554<br />
(0.32)<br />
-3.843<br />
(0.014)<br />
n 1(0)<br />
-0.018<br />
(0.677)<br />
-9.451<br />
(0)<br />
c 4(0)<br />
-2.390<br />
(0.145)<br />
-9.423<br />
(0)<br />
c+t 4(0)<br />
-3.132<br />
(0.238)<br />
-9.487<br />
(0)<br />
n= no constant; c= constant; c+ t=constant and trend; p-values are based on MacKinnon (1996) and reported in<br />
parenthesis
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