CES VŠEM o aktuálních ekonomických problémech

Table 24: Panel unit root tests – country characteristics VI
(volatility 2)
no trend
trend
test t. statistics P-value t. statistics P-value
High volatility
LLCa) Unadjusted -3.3629 -4.8484
Adjusted ( ) -1.4571 0.0725 -0.4384 0.3305
IPSa) 0.0768 0.5306 0.4428 0.6710
M-Wa), b) Z -3.4417 0.0003 0.7149 0.7627
M-Wa), c) Z 0.2604 0.6027 0.4078 0.6583
CADFd) -2.614 -2.941
Z[-bar] -2.222 0.013 -1.683 0.046
Low volatility
LLCa) Unadjusted -2.9517 -8.8874
Adjusted ( ) .-1.5150 0.0649 -4.8405 0.0000
IPSa) -0.8302 0.2032 -4.9269 0.0000
M-Wa), b) Z -4.2872 0.0000 -5.0855 0.0000
M-Wa), c) Z -0.9698 0.1661 -4.1251 0.0000
CADFd) -3.264 -3.446
Z[-bar] -3.951 0.000 -3.121 0.001
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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