Through a battery of unit root tests ADF, PP, ERS, NP (DFGLS, MPT MSB,

MZ, MZa, and PT), and KPSS variable processes I(0), I(1), I(2), and I(3) were

identified. 17 Tables 4-1 to 4-3 present a summary of unit root test results for quarterly

data in log-levels, log-first-differences, and log-second-differences, respectively.18

The first column contains information about the unit-root test type. The second

column is the number of variables that were tested. The third column shows the

number of non-stationary variables at the α=0.10. The fourth column is a percentage

of non-stationary to total number of variables tested at the α=0.10. Columns five and

six, and seven and eight contain similar information to the third and fourth, at α=0.05

and α=0.01, respectively. To illustrate, in Table 4-1, for the ADF test there are 31 out

of 58 variables for which the unit-root test null hypothesis could not be rejected at the

α=0.10.

Table 4-1. Stationary Tests (Unit Root) in Log Levels

Total
Test Stochastic Trends in Log Levels
Series
0.10* % 0.05* % 0.01* %
Augmented Dickey-Fuller 58 31 53.45 37 63.79 45 77.59
ERS^ 58 46 79.31 50 86.21 50 86.21
KPSS† 58 39 67.24 31 53.45 8 13.79
Ng and Perron -DFGLS 58 53 91.38 57 98.28 58 100.00
Ng and Perron -MPT 58 49 84.48 55 94.83 57 98.28
Ng and Perron -MSB 58 51 87.93 54 93.10 57 98.28
Ng and Perron -MZ 58 49 84.48 54 93.10 57 98.28
Ng and Perron -MZalpha 58 50 86.21 54 93.10 57 98.28
Ng and Perron -PT 58 49 84.48 57 98.28 57 98.28
Phillips-Perron 58 25 43.10 29 50.00 34 58.62
Total 580 442 76.21 478 82.41 480 82.76
^ Elliott-Rothenberg-Stock, †Kwiatkowski-Phillips-Schmidt-Shin, *Significance level (α).

17
KPSS is a test for stationarity, carried out to complement unit root tests.
18
See appendices for complete tests details.

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