Table 7.

Testing for a seasonal unit root: quarterly data, level

Variable	Canova–Hansen test	HEGY Test
Inflation	0.599 (0.46)	22.82 (0.00)
Relative price	1.891 (0.01)	34.40 (0.00)
Oil price	1.74 (0.01)	79.41 (0.00)
Output gap	2.08 (0.01)	4.14 (0.17)

Note: The null hypothesis in the Canova–Hansen test is stationarity of the series and the null hypothesis of the HEGY test is that the series has a unit root. In both cases, the joint-F statistics is reported. P values are given in parentheses. For the HEGY test, the p values are bootstrapped