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Testing for a seasonal unit root: quarterly data, first-difference
| Variable | Canova–Hansen test | HEGY Test |
|---|---|---|
| Relative price | 0.645 (0.416) | 20.97 (0.00) |
| Oil price | 0.754 (0.317) | 17.56 (0.00) |
Note: The null hypothesis in the Canova–Hansen test is stationarity of the series and the null hypothesis in the HEGY test is that it contains a unit root. In both cases the joint-F statistic is reported. P values are given in parentheses and in HEGY test the p values are bootstrapped
