Table 3.

Pesaran's (2007) unit root test.

Variables	Level		1st difference		Integration order
	Intercept	Intercept & trend	Intercept	Intercept & trend
Pesaran CIPS
PM2.5	−1.89	−2.36	−5.622***	−5.947***	1(1)
COVID-19	−1.98	−2.06	−3.582***	−4.134***	1(1)
Pesaran CADF
PM2.5	−2.001	−1.476	−5.020***	−5.458***	1(1)
COVID-19	−1.765	−1.486	−2.113***	−2.323***	1(1)