Table 2.

Unit root test and order of integration.

Variables	At level/first-difference	ADF Test		PP Test
		With Intercept	With Intercept & Trend	With Intercept	With Intercept & Trend
LM	Level First difference	−2.32 −7.52**	−4.43** −4.63**	−1.95 −9.47**	−3.84** −14.96**
LY	Level First difference	6.18 −1.42	1.07 −4.49**	6.18 −3.52**	1.21 −9.51**
LRP	Level First difference	−0.01 −6.19**	3.17 −6.87**	−0.01 −6.19**	−3.26 −6.89**
LR	Level First difference	−1.93 −5.47**	−2.43 −5.38**	−1.93 −5.84**	−2.49 −5.62**
LX	Level First difference	−1.86 −9.77**	−5.09** −9.82**	−1.96 −14.87**	−5.04** −33.76**
LFCG	Level First difference	4.18 −3.62**	−0.77 −5.02**	4.36 −3.47**	−0.83 −5.02**
LI	Level First difference	−2.25 −12.34**	−2.01 −11.86**	−2.21 −15.62**	−6.34** −15.57**

Notes: ADF = Augmented Dickey-Fuller, and PP = Phillips-Perron. L denotes natural logarithm. The *, **, *** denotes significance at 10%, 5%, and 1% levels, respectively. Critical values for the ADF and PP tests are −2.63, −2.98, and −3.71 (with intercept), −3.23, −3.59, and −4.36 (with intercept and trend), which are taken as one-sided p values of MacKinnon (1996).