0306E - Faculty of Social Sciences - Université d'Ottawa

Table A.1. ADF Unit Root Test
Log(DOM) Log(TRANS) Log(INT)
Series in Levels
t-statistic
(p¡value)
¡1:30
(0:88)
¡2:12
(0:53)
¡1:90
(0:65)
Series in First Di¤erences
t-statistic
(p¡value)
¡4:03
(0:001)
¡3:84
(0:02)
¡6:38
(0:00)
Figures in parantesis correspond to one-sided p-values of the t-stat value
calculated using Davidson and MacKinnon (1993). The lag order with the
minimum BIC was selected with a maximum of 14 lags. All samples correspond
to 1985:12-2001:02 (207 observations) which is the sample used in
forecast evaluation.
Table A.2. Seasonal Unit Root Tests
Domestic
k AIC = 24
Transborder
k AIC = 26
International
k AIC = 14
t b¼1 -1.59 -2.52 -3.02
t b¼2 -0.79 -0.83 -0.24
F b¼3 ;b¼ 4
2.40 0.01 2.56
F b¼5 ;b¼ 6
0.55 4.92 6.67 ¤¤
F b¼7 ;b¼ 8
6.54 ¤¤ 1.03 0.29
F b¼9 ;b¼ 10
3.45 6.94 ¤¤ 10.29 ¤¤¤
F b¼11;b¼12 0.39 0.39 4.44
¤¤ and ¤¤¤ denotes signi…cance at 5% and 1% respectively. The …lter
applied to each series is: a) Domestic:
(1 ¡ L)(1 + L)(1 + L 2 )(1 + L + L 2 )(1 + p 3 + L 2 )(1 ¡ p 3L + L 2 ); b)
Transborder: (1 ¡L)(1+L)(1+ L 2 )(1 +L + L 2 )(1 ¡L + L 2 )(1 ¡ p 3L +L 2 );
c) International: (1 ¡ L)(1 + L)(1 + L 2 )(1 ¡ L + L 2 )(1 ¡ p 3L + L 2 ):
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