Table 3.
Stationarity test results.
| Test | Level/Difference | CBR | CDS | USD/TRY |
|---|---|---|---|---|
| ADF Test |
Level Probability Test Statistic |
0.2047 [-2.205121] | 0.0054 [-3.629734] | 1.000 [-4.476319] |
| 1st Difference Probability Test Statistic |
0.0000 [-6.240190] | 0.0000 [-7.362254] | ||
| PP Test |
Level Probability Test Statistic |
0.3149 [-1.937771] | 0.0034 [-3.770240] | 1.000 [3.479980] |
| 1st Difference Probability Test Statistics |
0.0000 [-32.85473] | 0.0000 [-25.51257] | ||
| ZA Test |
Level Probability Test Statistics Time Breaks |
0.003809 [-3.449268] (11/18/2016) | 0.000567 [-5.212018] (April 05, 2018) | 0.028847 [-1.442383] (03/16/2018) |
| Result | I(1) | I(0) | I(1) |
Notes: ADF Test: Lag length criteria are automatically selected based on the Akaike information criterion (AIC) in the ADF Test; Bartlett kernel in the PP Test; and automatically selected in the ZA Test.