TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...
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Annexes<br />
Table E.5 – Unit root tests on de-seasonalized time series, PP statistics (1978:12-1993:06)<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 />
n= no constant; c= constant; c+ t=constant and trend<br />
150<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 />
0.020<br />
0.637<br />
-7.048<br />
-2.541<br />
-6.521<br />
-2.416<br />
0.002<br />
0.012<br />
-5.694<br />
-1.737<br />
-8.240<br />
-2.357<br />
-238.904<br />
-19.058<br />
-239.236<br />
-19.049<br />
-242.493<br />
-19.498<br />
-116.846<br />
-9.414<br />
-116.862<br />
-9.386<br />
-118.347<br />
-9.454<br />
Table E.6 – Unit root tests on de-seasonalized time series, PP statistics (1993:07-2003:12)<br />
Variable<br />
n° of lags<br />
logs (diff. logs)<br />
swfr 3(2)<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 />
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 />
0.006<br />
0.111<br />
-3.165<br />
-1.167<br />
2.095<br />
-0.529<br />
0.033<br />
0.235<br />
-12.482<br />
-2.546<br />
-12.782<br />
-2.546<br />
-69.704<br />
-6.928<br />
-69.703<br />
-6.900<br />
-74.979<br />
-7.253<br />
-91.308<br />
-8.314<br />
-91.386<br />
-8.285<br />
-91.389<br />
-8.252