Table 3.
Conventional (ADF, PP, and KPSS) unit root test
| Variables | Level | 1st Diff | |||
|---|---|---|---|---|---|
| Intercept | Intercept and trend | Intercept | Intercept and trend | Order | |
| ADF | |||||
| LCO2 | −0.4615 | −3.2403* | −3.4636** | −3.4391* | MIXED |
| LGDP | −0.3998 | −3.1073 | −3.0890** | −3.0537 | I (1) |
| LIQ | −2.7466* | −2.8044 | −3.1158** | −3.1852* | MIXED |
| FDI | −1.5819 | −0.9997 | −1.00668 | −1.3905 | MIXED |
| LFF | −0.9280 | −4.4573*** | −3.6149*** | −3.5449** | MIXED |
| LRE | 1.0582 | −0.6868 | −2.4257 | −3.3049* | I (1) |
| PP | |||||
| LCO2 | −0.5988 | −1.9884 | −3.6604*** | −3.6317** | I (1) |
| LGDP | −0.6678 | −1.6629 | −3.3403** | −3.3107* | I (1) |
| LIQ | −1.4518 | −1.4624 | −3.2720** | −3.3358* | I (1) |
| FDI | −1.8259 | −1.3841 | −3.8258*** | −3.9331** | I (1) |
| LFF | −1.6026 | −3.2646* | −3.8064*** | −3.7510** | MIXED |
| LRE | 4.8410 | −1.1247 | −2.5412 | −3.6129** | I (1) |
| KPSS | |||||
| LCO2 | 1.1774*** | 0.1386* | 0.0648 | 0.0659 | I (1) |
| LGDP | 1.2058*** | 0.1082 | 0.1103 | 0.0959 | I (1) |
| LIQ | 0.2452 | 0.22297*** | 0.1313 | 0.0630 | I (1) |
| FDI | 0.4167* | 0.1332* | 0.1812 | 0.0814 | I (1) |
| LFF | 1.2067*** | 0.0741 | 0.1150 | 0.0495 | I (1) |
| LRE | 0.9757*** | 0.2814*** | 0.8319*** | 0.1071 | MIXED |
Null hypothesis is non-stationary for ADF and PP and stationary for KPSS
The signs depict (*) significant at the 10%; (**) significant at the 5%; (***) significant at the 1%, and (no) not significant
*MacKinnon (1996) one-sided p-values