Table C10. Results of the unit root tests with standard and flexible Fourier form approaches.

	τ		${\tau }^{\ast }$		$M{Z}_t$		$M{Z}_t^{\ast }$		$AD{F}_t$		$AD{F}_t^{\ast }$
	Test statistic	p-value	Test statistic	p-value	Test statistic	p-value	Test statistic	p-value	Test statistic	p-value	Test statistic	p-value
TB3M-FFR	2.5888	.0013	1.7090	.0462	−5.3612	.0505	−2.9085	.0071	−69.1534	0.0145	−18.8169	.0056
TB6M-FFR	2.5271	.0084	1.6530	.0796	−4.9458	.1034	−3.2724	.0024	−58.2789	.0521	−22.8172	0.0018
GS10Y-FFR	2.3543	.1246	2.1181	.0000	−4.3407	.2014	−3.8599	.0002	−40.2135	.1967	−31.4606	.0002
GS5Y-FFR	2.4189	.0604	2.2393	.0000	−4.6407	.1520	−4.2584	.0000	−46.5320	.1359	−38.8099	.0000
GS3Y-FFR	2.4802	.0228	2.2317	.0000	−4.9249	.1067	−4.4260	.0000	−53.3663	.0811	−42.3891	.0000
GS1Y-FFR	2.5419	.0057	1.8634	.0053	−4.8723	.1142	−3.7770	.0002	−56.1854	.0641	−31.3041	.0002
GS10Y-GS1Y	2.1710	.3405	1.6932	.0547	−3.4299	.3376	−3.6867	.0004	−25.8854	.3556	−25.9590	.0005
GS10Y-GS3Y	2.1372	.3856	1.6099	.1191	−3.2207	.3632	−2.5831	.0197	−22.8586	.3881	−13.4790	.0212
GS10Y-GS5Y	2.1485	.3705	1.5724	.1631	−3.6951	.3018	−2.2178	.0476	−30.2136	0.3110	−10.0575	0.0510
GS10Y-TB3M	2.2740	.2213	1.8410	.0080	−4.7326	.1352	−4.1416	.0002	−47.5124	.1278	−33.5579	.0002
GS10Y-TB6M	2.2047	.3002	1.6937	.0544	−3.6923	.3025	−3.6810	.0004	−29.7461	.3147	−26.3779	0.0005
GS5Y-GS1Y	2.2178	.2850	1.8146	.0121	−3.6848	.3033	−4.5117	.0000	−29.6510	.3156	−37.9814	.0000
GS5Y-GS3Y	2.1694	.3418	1.7152	.0429	−3.5357	.3230	−2.7511	.0119	−26.8969	.3442	−15.6376	.0124
GS5Y-TB3M	2.3717	.1053	2.0347	.0001	−4.6939	.1416	−4.2931	.0000	−48.0973	.1234	−38.8139	.0000
GS5Y-TB6M	2.2801	.2152	1.8102	.0127	−4.1428	.2310	−4.0856	.0002	−37.3722	.2300	−33.4640	.0002
GS3Y-GS1Y	2.2816	.2131	1.9083	.0030	−3.9428	.2669	−4.9108	.0000	−34.5769	.2608	−45.5525	.0000
GS3Y-TB3M	2.4922	.0189	2.1521	.0000	−5.6536	.0246	−5.1228	.0000	−70.0850	.0129	−54.7863	0.0000
GS3Y-TB6M	2.3844	.0915	1.8669	.0049	−4.6488	.1504	−4.0739	.0002	−48.1427	.1230	−34.9391	.0001