Revisiting the Great Moderation using the Method of Indirect Inference
Revisiting the Great Moderation using the Method of Indirect Inference
Revisiting the Great Moderation using the Method of Indirect Inference
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C<br />
Unit Root Test for Stationarity<br />
Table A.2: Unit Root Test Result<br />
Panel A: pre-break sample (1972Q3|1982Q3)<br />
Time series 5% critical value 10% critical value ADF test statistics p-values*<br />
~{ t -1.95 -1.61 -1.71 0.0818<br />
x t -1.95 -1.61 -1.67 0.0901<br />
t -1.95 -1.61 -2.86 0.0053<br />
Panel B: post-break sample (1982Q4|2007Q4)<br />
Time series 5% critical value 10% critical value ADF test statistics p-values<br />
~{ t -1.95 -1.61 -2.91 0.0040<br />
x t -1.95 -1.61 -4.42 0.0000<br />
t -1.95 -1.61 -3.34 0.0010<br />
Note: `*' denotes <strong>the</strong> Mackinnon (1996) one-sided p-values.<br />
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