Table 3.

Outputs of the traditional unit root tests.

Panel A: Variables in level form
Variables	LLC test	ADF-Fisher Chi Square test	PP-Fisher Chi Square test	Breitung test	Im et al. test
$REP$	2.114 (0.983)	5.195 (0.878)	3.454 (0.969)	1.471 (0.929)	1.764 (0.961)
$REI$	0.184 (0.573)	9.834 (0.455)	7.142 (0.113)	0.561 (0.713)	0.429 (0.666)
$GDP$	0.706 (0.760)	9.430 (0.492)	3.182 (0.977)	0.126 (0.550)	1.012 (0.844)
$PPI$	6.250 (0.999)	15.659 (0.110)	8.701 (0.100)	0.269 (0.606)	-1.115 (0.132)
$COE$	1.447 (0.174)	8.641 (0.813)	13.517 (0.196)	0.233 (0.592)	-0.882 (0.189)
Panel B: Variables in first differences
Variables	LLC test	ADF-Fisher Chi Square test	PP-Fisher Chi Square test	Breitung test	Im et al. test
$\Delta REI$	-7.871∗∗∗ (0.000)	69.276∗∗∗ (0.000)	400.684∗∗∗ (0.000)	-6.522∗∗∗ (0.000)	-8.542∗∗∗ (0.000)
$\Delta REP$	-7.752∗∗∗ (0.000)	61.024∗∗∗ (0.000)	70.597∗∗∗ (0.000)	-4.038∗∗∗ (0.000)	-7.184∗∗∗ (0.000)
$\Delta GDP$	-3.921∗∗∗ (0.000)	26.186∗∗∗ (0.000)	31.148∗∗∗ (0.000)	-3.020∗∗∗ (0.001)	-3.013∗∗∗ (0.001)
$\Delta PPI$	49.858∗∗∗ (0.000)	36.618∗∗∗ (0.000)	437.465∗∗∗ (0.000)	-3.009∗∗∗ (0.001)	-4.249∗∗∗ (0.000)
$\Delta COE$	-3.890∗∗∗ (0.000)	38.125∗∗∗ (0.000)	38.818∗∗∗ (0.000)	-4.327∗∗∗ (0.000)	-4.509∗∗∗ (0.000)

The bandwidth determination is premised on the Newey-West automatic and Bartlett kernel. Schwarz information criterions has been used to select the lag length. ∗∗∗, ∗∗, ∗ imply the significance at 1%, 5% and 10%. The probability values are presented in the parenthesis. LLC is Levine-Lin-Chu. ADF is PP is Phillips-Perron. Augmented Dickey–Fuller.