TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
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Annexes<br />
Table E.3 – Unit root tests on de-seasonalized time series, ADF statistics -18 (1993:07-2003:12)<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 2(1)<br />
c 1(1)<br />
c+t 1(1)<br />
Logs Differentiated logs<br />
-0.409<br />
(0.536)<br />
-1.925<br />
(0.321)<br />
-0.702<br />
(0.972)<br />
0.314<br />
(0.776)<br />
-3.138<br />
(0.024)<br />
-3.119<br />
(0.102)<br />
-3.502<br />
(0.0004)<br />
-3.410<br />
(0.011)<br />
-3.823<br />
(0.015)<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.4 – Unit root tests on de-seasonalized time series, PP statistics (1978:12-2003:12)<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 />
n= no constant; c= constant; c+ t=constant and trend<br />
-8.037<br />
(0)<br />
-8.019<br />
(0)<br />
-7.999<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 />
0.001<br />
0.006<br />
-4.044<br />
-1.424<br />
-12.956<br />
-2.682<br />
0.050<br />
0.242<br />
-14.323<br />
-2.777<br />
-14.794<br />
-2.843<br />
-510.862<br />
-19.107<br />
-511.001<br />
-19.090<br />
-509.967<br />
.-19.060<br />
-212.827<br />
-12.757<br />
-212.971<br />
-12.742<br />
-213.103<br />
-12.727<br />
149
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