Table 6.
Augmented Dickey Fuller and Phillips-Perron test for unit roots.
Source Authors’ calculations
| Government expenditure model | |||||||
|---|---|---|---|---|---|---|---|
| Tests | ∆y | ∆nt | ∆nc | ∆nl | ∆na | ∆nb | |
| ADF | Critical value at 5%* | − 2.73 (− 1.95) | − 2.47 (− 1.95) | − 3.37 (− 1.95) | − 2.02 (− 1.95) | − 2.25 (− 1.95) | − 3.97 (− 1.95) |
| PP | − 3.03 (− 2.98) | − 3.41 (− 2.98) | − 3.58 (− 2.98) | − 4.01 (− 2.98) | − 3.00 (− 1.95) | − 7.10 (− 2.98) | |
| Investment model | ||||||
|---|---|---|---|---|---|---|
| Tests | ∆y | ∆t | ∆i | ∆m | ∆r | |
| ADF | Critical value at 5% | − 2.73 (− 1.95) | − 2.98 (− 1.95) | − 2.25 (− 1.95) | − 3.56 (− 2.98) | − 2.31 (− 1.95) |
| PP | − 3.03(− 2.98) | − 3.84 (− 1.95) | − 4.12 (− 1.95) | − 3.77 (− 2.98) | 2.80 (− 1.95) | |
| External debt model | |||||
|---|---|---|---|---|---|
| Tests | ∆ds | ∆dl | ∆gr | ∆ge | |
| ADF | Critical value at 5% | − 2.15 (− 1.95) | − 3.19 (− 1.95) | − 2.43 (− 1.95) | − 3.61 (− 2.98) |
| PP | − 2.89 (− 1.95) | − 3.32 (− 1.95) | − 2.95 (− 1.95) | − 6.18 (− 2.98) | |
*Values in parenthesis are test statistics