CES VŠEM o aktuálních ekonomických problémech

structural breaks might result in lower power of the test (Bierens,
1997). However, there is no simple rule for its determination. In
our case, we follow the suggestion of Cuestas (2009), i.e. the lag
length is chosen so that it yields more evidence against the
null ( ).
Table 3: Univariate unit root test – KSS test
KSSa)
demeanedb)
KSSa)
detrendedc)
Bulgaria -0.5459 0.0184 (3) -2.0418 0.6479 (0)
Cyprus -3.4896*** 4.7599 (6) -4.8282*** -5.8687*** (5)
Czech Republic -0.3878 -1.1351 (1) -4.1947*** -4.2334*** (1)
Estonia -0.8791 -0.7506 (3) -6.1489*** -7.3137*** (2)
Hungary -0.9020 -2.0717 (2) -4.8154*** -6.6128*** (3)
Lithuania -0.2466 0.0666 (0) -1.5282 -3.5109** (2)
Latvia -0.5893 0.0806 (2) -3.4366*** -2.8364 (2)
Malta -2.8975* 7.7016 (1) -5.3124*** -4.0146*** (1)
Poland -2.5024 -0.3365 (1) -6.4519*** -3.3005* (1)
Romania -0.0051 0.0173 (0) -0.0428 -0.0918 (1)
Slovenia -4.6006*** -6.0313*** (1) -6.141*** -5.2708*** (6)
Slovakia -0.0083 -0.2674 (1) -4.5413*** -4.0299*** (1)
Note: Optimal number of lags in parentheses. a) values of the test statistics
reported. ***, **, and *** significant at 1%, 5% and 10%
respectively. Critical values for the KSS test (Kapetanios al., 2003),
p.~364,~tab.~1]): b) -3.48, -2.93, -2.66. c) -3.93, -3.40, -3.13.
Source: own calculation.
Our results show a rejection of the left-sided hypothesis for the
Czech, Estonian and Latvian currencies, which does not allow us
to conclude whether they are (mean) stationary, stationary with
a linear trend or a stationary around a nonlinear trend.
Conversely, Lithuanian and Slovenian currencies indicate
stationarity around a nonlinear trend. There is only one
significant result for the Bulgarian, Cyprian and Romanian
currencies, the other one are (marginally) insignificant.
Interestingly, the results for Bulgarian or Hungarian currency are
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