### Table II Unit Root Tests

2001

Cited by 35

### Table 1 Unit Roots Tests.

2003

"... In PAGE 4: ... 3.2 Tests for Unit Roots and Cointegration The results of unit root tests for all relevant variables and their first differences are reported in Table1 . We use Augmented Dickey-Fuller (ADF) tests and KPSS tests.... In PAGE 4: ...ests and KPSS tests. [Kwiatkowski et al. 1992]. Table1 presents the summary of the unit root tests for all relevant series and their first differences. We cannot accept the null of unit root for the spread between dividends and prices (s2t).... ..."

Cited by 1

### Table 3: Unit Roots Tests

"... In PAGE 12: ... This reinforces that the issue of the nonstationarity of the inflation rate is not clear-cut. Table3 reports the results of two tests for unit roots: the augmented Dickey Fuller (ADF) test, which has the unit root as the null hypothesis (Dickey and Fuller [1979]), and the KPSS test, for which the null is trend-stationarity or stationarity (Kwiatowski, Phillips, Schmidt and Shin [1992]). (The trend is not included in the case of the government size variable, since this ratio is bounded between 0 and 1.... ..."

### Table 1. Unit root tests.

"... In PAGE 7: ...limate Research Unit at the University of East Anglia (www.cru.uea.ac.uk). The res ults of the application of the unit root tests to these three series are given in Table1 . In each case, the number of difference lags included in the Dickey-Fuller regression (6) is determined by sequential downward testing at the 5%-level (as recommended by Ng and Perron, 1995), starting with 8 = k .... ..."

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### Table 1. Unit Root Tests

"... In PAGE 11: ...6) may be more suitable. In Table1 the results for unit root tests for all four series are given. In addition to the S amp;L and alt tests we also show the results of ordinary ADF tests which allow for a deterministic trend and do not include a shift term.... In PAGE 13: ... Similarly, p = 2 is su cient in model (2.1) for log IP to remove the residual autocorrelation and therefore results for that order are also given in Table1 for the Polish series. S amp;L found clear support for a unit root in log GNP and log M3 and weak evidence against a unit root in log M1.... In PAGE 13: ... S amp;L found clear support for a unit root in log GNP and log M3 and weak evidence against a unit root in log M1. In Table1 it can be seen that similar results are obtained based on alt although the evidence against a unit root in log GNP is somewhat stronger when the latter test is used. Still, for log GNP none of the statistics is signi cant at the 5% level.... ..."

### Table 1: Unit Root Tests

"... In PAGE 9: ...8 declining correlogram which one gets in a situation of non-stationarity. A summary of the ADF test results is presented in Table1 below; the correlograms and the details of the ADF tests are ... In PAGE 14: ... The results are presented in column 2. The estimation results have been subjected to and passed the diagnostic tests whose results are also presented in Table1 . The Ramsey RESET test (functional form) confirms that the model is correctly specified.... ..."

### Table 1: Unit Root Tests

1997

"... In PAGE 5: ... The Dickey-Fuller univariate test regressions and hypotheses are: 4zjt = 1zjt?1 + vjt H0 : d = 1 () 1 = 0; H1 : d = 0 () 1 lt; 0: (6) Whereas the Augmented Dickey Fuller test includes lagged di erences in (6) in order to eliminate serial correlation, the Phillips-Perron test uses a non-parametric approach. Both tests are reported in Table1 . They lead to non-rejection at the usual signi cance levels.... In PAGE 15: ...15 Table1 0: The Loading Coe cients (90:2-96:7) H1a H2 H3 4R(3M) tD -0.0005 0.... In PAGE 15: ... t- values in brackets. Table1 1: Tests for Weak Exogeneity (1990:2-1996:7) r R(3M) tD a R(3M) tUS R(10Y ) tD R(10Y ) tUS X 2 0:05(r) 1 0.673 0.... ..."

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### Table 5: Unit Root Tests

1998

"... In PAGE 17: ... In the Davidson and MacKinnon (1993) notation, we use specifications with just a constant, denoted by a subscript c, with a constant and a time trend, denoted by a subscript ct and with a constant, a time trend and a squared time trend, denoted by a subscript ctt. Table5 shows the test statistics, and their P -values, computed for log prices, x, and change in log prices, r, for the DEM-USD spot exchange rate from both the physical-time and the transformed #-time scale. We also report the test statistics for the relevant interest rate series which have been extracted for matching time intervals.... ..."

Cited by 5

### Table 7:Unit root tests

"... In PAGE 29: ...mpulse response functionsG32G33, i.e. the responses of output, prices and interest rates to unexpected shocks to interest rates. All our variables are non-stationary (see Table7 ): output (indus- trial productionG32G34) seems to be integrated of order 1 both in levels and logarithms, while CPI is I(2) (i.e.... In PAGE 29: ... Hence, we used in ation in our VAR estimates. Table7 here For both countries, the VARs are specifled with 2 lags; in our pre- ferred speciflcation, we add a trend, a set of orthogonal seasonal dummies G32G31G49G6EG61G33G76G61G72G69G61G62G6CG65G73G79G73G74G65G6D G74G68G69G73 G6DG65G61G6EG73 G74G68G61G74 G74G68G65 G6CG61G73G74 G76G61G72G69G61G62G6CG65 G69G6EGB0G75G65G6EG63G65G73 G74G68G65 GAFG72G73G74 G74G77G6FG2C G77G69G74G68G6FG75G74 G66G65G65G64G62G61G63G6BG73 G66G72G6FG6D G74G68G65G6D G61G6EG64 G74G68G65 G73G65G63G6FG6EG64 G76G61G72G69G61G62G6CG65 G69G6EGB0G75G65G6EG63G65G73 G74G68G65 GAFG72G73G74 G77G69G74G68G6FG75G74 G66G65G65G64G62G61G63G6BG73 G66G72G6FG6D G69G74G2E G32G32G44G61G74G61 G61G72G65 G64G65G73G63G72G69G62G65G64 G69G6E G74G68G65 G41G70G70G65G6EG64G69G78G2E G55G6EG69G74 G72G6FG6FG74 G74G65G73G74G73 G61G72G65 G64G6FG6EG65 G75G73G69G6EG67 G50G43G47G69G76G65G2E G45G73G74G69G6DG61G74G69G6FG6EG73 G61G72G65 G64G6FG6EG65 G75G73G69G6EG67 G74G68G65 G70G61G63G6BG61G67G65 G45G2DG76G69G65G77G73G2C G76G65G72G73G69G6FG6E G32G2EG30 G61G6EG64 G50G43G46G49G4DG4CG2E G54G68G65 G70G65G72G69G6FG64 G63G6FG72G72G65G73G70G6FG6EG64G73 G74G6F G74G68G65 G6CG6FG6EG67G65G73G74 G61G76G61G69G6CG61G62G6CG65 G77G69G74G68 G66G61G69G72G6CG79 G68G6FG6DG6FG67G65G6EG65G6FG75G73 G64G61G74G61G2E G57G65 G68G61G76G65 G61G6CG73G6F G72G65G64G75G63G65G64 G74G68G65 G70G65G72G69G6FG64 G6FG66 G65G73G74G69G6DG61G74G69G6FG6E G74G6F G63G6FG6EG73G69G64G65G72 G6FG6EG6CG79 G74G68G65 G45G52G4D G70G65G72G69G6FG64 G28G31G39G37G39G2DG39G37G29 G61G6EG64 G72G65G73G75G6CG74G73 G64G6F G6EG6FG74 G63G68G61G6EG67G65G2E G54G68G65 G73G61G6DG65 G61G70G70G6CG69G65G73 G77G68G65G6E G65G78G6FG67G65G6EG6FG75G73 G76G61G72G69G61G62G6CG65G73 G61G72G65 G61G64G64G65G64 G74G6F G74G68G65 G65G73G74G69G6DG61G74G65G73G2C G73G75G63G68 G61G73 G65G78G63G68G61G6EG67G65 G72G61G74G65 G64G65G76G65G6CG6FG70G6DG65G6EG74G73G2C G72G61G77 G6DG61G74G65G72G69G61G6C G70G72G69G63G65G73 G65G74G63G2E G6FG72 G64G75G6DG6DG69G65G73 G74G6F G61G63G63G6FG75G6EG74 G66G6FG72 G74G68G65 G31G39G39G32 G45G52G4D G63G72G69G73G69G73 G61G6EG64 G74G68G65 G31G39G39G33 G65G6EG6CG61G72G67G65G6DG65G6EG74 G6FG66 GB0G75G63G74G75G61G74G69G6FG6E G62G61G6EG64G73G2E G32G33G45G76G65G6E G74G68G6FG75G67G68 G69G6DG70G75G6CG73G65 G72G65G73G70G6FG6EG73G65G73 G61G72G65 G6EG6FG74 G61 G76G61G6CG69G64 G6DG6FG64G65G6C G73G65G6CG65G63G74G69G6FG6E G63G72G69G74G65G72G69G61G2C G62G65G63G61G75G73G65 G74G68G65G79 G61G72G65 G64G65G74G65G72G6DG69G6EG65G64 G62G79 G74G68G65 G63G68G6FG73G65G6E G6DG65G74G68G6FG64G6FG6CG6FG67G69G63G61G6C G66G72G61G6DG65G77G6FG72G6B G69G6E G77G68G69G63G68 G61 G6DG6FG64G65G6C G69G73 G62G75G69G6CG74 G28G69G2EG65G2E G74G68G65 G69G6DG70G6FG73G65G64 G69G64G65G6EG74G69G66G79G69G6EG67 G72G65G73G74G72G69G63G74G69G6FG6EG73G2C G69G74G73 G73G70G65G63G69GAFG63G61G74G69G6FG6E G61G6EG64 G69G74G73 G65G73G74G69G6DG61G74G69G6FG6E G6DG65G74G68G6FG64G29G2C G74G68G65G79 G61G72G65 G77G69G64G65G6CG79 G75G73G65G64 G69G6E G74G68G65 G65G6DG70G69G72G69G63G61G6C G6CG69G74G65G72G61G74G75G72G65 G62G65G63G61G75G73G65 G74G68G65G79 G65G61G73G69G6CG79 G63G6FG6EG2D G76G65G79 G74G68G65 G6DG65G73G73G61G67G65 G61G6EG64 G70G72G6FG76G69G64G65 G61 G73G69G6DG70G6CG65 G67G72G61G70G68G69G63G61G6C G61G73G73G65G73G73G6DG65G6EG74 G6FG66 G74G68G65 G64G69GAEG65G72G65G6EG63G65G73 G69G6E G74G68G65 G74G72G61G73G6DG69G73G73G69G6FG6E G6DG65G63G68G61G6EG69G73G6DG2E G32G34G49G6EG64G75G73G74G72G69G61G6C G70G72G6FG64G75G63G74G69G6FG6E G69G73 G70G72G65G66G65G72G72G65G64 G74G6F G6FG75G74G70G75G74 G69G6E G74G68G65 G65G6DG70G69G72G69G63G61G6C G6CG69G74G65G72G61G74G75G72G65G2C G61G6EG64 G74G68G65 G65GAEG65G63G74G73 G6FG66 G61 G6DG6FG6EG65G74G61G72G79 G73G68G6FG63G6BG73 G61G72G65 G6DG6FG72G65 G76G69G73G69G62G6CG65G3B G68G6FG77G65G76G65G72 G68G65G72G65 G77G65 G72G65G70G6FG72G74 G74G68G65 G69G6DG70G75G6CG73G65 G72G65G73G70G6FG6EG73G65G6FG66 G6FG75G74G70G75G74 G66G6FG72 G63G6FG6EG73G69G73G74G65G6EG63G79 G77G69G74G68 G6FG75G72 G74G68G65G6FG72G65G74G69G63G61G6C G6DG6FG64G65G6C G77G68G65G72G65 G77G65 G68G61G76G65 G63G6FG6EG2D G73G75G6DG70G74G69G6FG6E G61G6EG64 G61G73G73G65G74G73 G72G61G74G68G65G72 G74G68G61G6E G70G72G6FG64G75G63G74G69G6FG6EG2E G43G66G2E G53G69G6DG6DG73G2C G31G39G39G32G3B G4DG6FG6AG6FG6EG2C G31G39G39G37 G61G6DG6FG6EG67G73G74 G6FG74G68G65G72G73 G66G6FG72 G64G69G73G63G75G73G73G69G6FG6E G6FG6E G74G68G65 G75G73G65 G6FG66 G69G6EG64G75G73G74G72G69G61G6C G70G72G6FG64G75G63G74G69G6FG6E G61G6EG64 G47G65G6EG6EG61G72G69 G61G6EG64 G47G69G6FG76G61G6EG6EG65G74G74G69G2C G31G39G39G38G2C G66G6FG72 G56G41G52 G75G73G69G6EG67 G74G68G65 G73G61G6DG65 G64G61G74G61 G73G65G74 G61G6EG64 G6DG65G74G68G6FG64G6FG6CG6FG67G79 G62G75G74 G69G6EG64G75G73G74G72G69G61G6C G70G72G6FG64G75G63G74G69G6FG6E G69G6EG73G74G65G61G64 G6FG66 G6FG75G74G70G75G74G2E... ..."