CES VŠEM o aktuálních ekonomických problémech

Table 23: Panel unit root tests – country characteristics IV
(volatility)
no trend
trend
test t. statistics P-value t. statistics P-value
igh volatility
LLCa) Unadjusted -3.5239 -4.8387
Adjusted ( ) -1.6057 0.0542 0.5481 0.2918
IPSa) -0.0820 0.4673 0.4004 0.6556
M-Wa), b) Z -3.5619 0.0002 0.6104 0.7292
M-Wa), c) Z 0.0823 0.5328 0.3317 0.6300
CADFd) -2.944 -4.045
Z[-bar] -3.100 0.001 -4.828 0.000
Low volatility
LLCa) Unadjusted -2.9083 -6.4590
Adjusted ( ) -0.6920 0.2445 -2.1603 0.0154
IPSa) -1.4571 0.0725 -2.1481 0.0159
M-Wa), b) Z -4.1389 0.0000 -1.3080 0.0954
M-Wa), c) Z -1.9286 0.0269 -2.1775 0.0147
CADFd) -1.832 -2.784
Z[-bar] -0.137 0.445 -1.237 0.108
Note: a) demeaned time series. b) DF, drift; Inverse normal Z statistics
reported, c) PP, drift; Inverse normal Z statistics reported, d) truncated –
approximation of extreme values of the distribution.
Source: own calculations.
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