Table 4.
Unit root test results.
| Test Method | Pre-Epidemic -sample |
Epidemic -sample |
Pandemic -sample |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| SPR | EXR | OP | SPR | EXR | OP | SPR | EXR | OP | TCC | TCD | |
| Levin-Lin-Chu (LLC) test | <0.01* | <0.01* | <0.01** | <0.10* | <0.01** | <0.05** | <0.01* | <0.01** | <0.01* | <0.01** | <0.01** |
| Breitung t-stat | <0.01* | <0.01** | <0.01* | <0.01* | <0.01** | <0.05** | <0.01* | <0.01** | <0.01* | <0.01** | <0.01** |
| Harris-Tzavalis: HT rho | <0.01* | <0.01** | <0.01** | <0.01** | <0.01** | <0.01** | <0.01* | <0.01** | <0.01* | <0.01** | <0.01** |
| Im-Pesaran-Shin (IPS) test | <0.01* | <0.01* | <0.01* | <0.01* | <0.01** | <0.01** | <0.01* | <0.01** | <0.01* | <0.01** | <0.01** |
| ADF Fisher Chi-square | <0.01* | <0.01* | <0.01* | <0.01* | <0.01** | <0.01** | <0.01* | <0.01** | <0.01** | <0.05** | >0.01* |
| Hadri Z-stat. | >0.10* | >0.05** | >0.10** | >0.10** | >0.10** | >0.10** | >0.10** | >0.05** | >0.10** | >0.05** | >0.10* |
Note: The null hypothesis for the first three methods is unit root with common process while the null for the fourth and fifth tests is unit root with individual unit root process. However, the null hypothesis for the (Hadri) test is no unit root with common unit root process. Thus, the asterisk * & ** on the reported probability values implies rejection of the null at level and at first difference for LLC, Breitung, HT IPS & ADF Fisher. Whereas, the asterisk * & ** in the case of Hadri implies non-rejection of the null of no unit root at level and at first difference.