Table 2.

Results of unit root tests

Variable	The ADF test				The PP test
	Level	k	First difference	k	Level	First difference
EF	− 1.038	0	− 4.768***	0	− 1.067	− 4.756***
TR	0.067	0	− 3.040**	0	− 0.242	− 3.056**
TD	− 1.534	1	− 3.195**	0	− 1.069	− 3.153**
EC	− 2.941	0	− 6.786 ***	0	− 2.859	− 3.629 **
URB	0.709	1	− 1.607	0	− 2.731	− 1.873
RQ	− 2.068	0	− 2.803*	0	− 2.291	− 2.772*
GE	− 0.008	0	− 3.871**	0	− 0.008	− 3.871**

ADF and PP denote the augmented Dickey-Fuller and Phillips–Perron tests respectively. Maximum lag order is set to two and optimal lag order (k) is selected based on Schwarz criterion in the ADF test; Triple asterisk, double asterisk, and single asterisk indicate rejection of the null hypotheses at the 1%, 5%, and 10% significance levels respectively. The critical values are taken from MacKinnon (1996) for the ADF and PP tests respectively