Table 2.

Unit root tests.

Test	AU	CH	US	UK	OT
tα-	1.36	0.99	0.80	−1.06	1.47
tα~	−1.25	−1.56	−1.47	−7.57a	−1.17
z-tα-	−0.75	0.54	0.62	−1.84	1.28
z-tα~	−3.79a	−3.46a	−1.10	−7.65a	−1.44
KPSS	1.26a	1.04a	1.11a	0.47a	1.06a

The null hypothesis for the tα- and tα~ ADF tests (Dickey and Fuller, 1979, Dickey and Fuller, 1981), and for the z-tα- and z-tα~ Phillips-Perron (Phillips & Perron, 1988) tests is that the series is non-stationary. For the KPSS test (Kwiatkowski, Phillips, Schmidt, & Shin, 1992), the null hypothesis is that the series is stationary. The lag-length for the ADF tests is chosen by minimizing the AIC criteria.

The lag-length for the Phillips-Perron tests is determined by using the Schwert (1989) formula: $\mathit{Int}\left\{4\left({\left(\frac{T}{100}\right)}^{0.25}\right)\right\}$.

^aIndicates the rejection of the null hypothesis at 5% significance level.