Consciousness-Based Education - Maharishi University of ...

U.S.-Soviet Relations and the Maharishi Effect1981). The ADF test was based on the ADF regression without trendor intercept. The latter two parameters were found to be not significantusing tabled critical values in Dickey and Fuller (1981) (n = 100).The insignificance of the trend and intercept implies that maximumpower for the ADF test will be obtained using the regression excludingthese parameters. To correct for serial correlation, five lagged firstdifferencedterms for the dependent variable were included in the ADFregression for the USSR tand two lagged terms for the ADF regressionfor USt. Lagrange Multiplier tests for residual autocorrelation at lags1–2 and lags 1–12 were not significant for both ADF regressions.10Unlike the ADF test, which rests on the assumption of independentand identically distributed residual errors in the ADF regression, thePhillips-Perron generalization of the Dickey-Fuller procedure remainsappropriate even under the weaker assumption that the errors areweakly dependent and heterogeneously distributed (Phillips and Perron,1988).11In the Phillips-Perron procedure, the t-statistic of the estimatedregression coefficients are corrected for possible serial correlation inthe disturbance u tusing the Newey-West method for adjusting thestandard errors (Newey and West, 1987). Using a formula suggestedby Newey and West, the truncation lag q was set equal to 3 in theBartlett kernel used to approximate the dynamics of the residuals forthe purpose of correcting for serial correlation. This parameter definesthe number of autocorrelations using in the adjustment procedure andwas calculated as q = 4(n/100) 2/9 .12These tabled critical values are the same for both the Phillips-Perronand the augmented Dickey-Fuller tests.13To maximize the power of the test to reject the null hypothesis ofnonstationarity, a sequential testing procedure (Doldado, Jenkinson,and Sosvilla-Rivero, 1990) may be used if the null hypothesis of a unitroot is not rejected for the initial PP (or ADF) regression that includesboth trend and intercept terms.14Maximum likelihood estimates were calculated using SCA StatisticalSystem software for the PC.15Since the t-distribution approaches the standard normal as samplesize increases, use of p-values based on the t-distribution for samplesize n = 93 would not materially change any of the statistical inferences487