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Financial Innovation

Table 4 Unit root test results

From: Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach

Variable ZA Perron
Levels First difference Levels First difference
Statistics Break Date Statistics Break Date Statistics Break Date Statistics Break Date
NER −3.065 1997 M11 −16.677* 1998 M02 −2.872 1997 M08 −18.800* 1998 M01
OP −4.057 2014 M05 −10.379* 2008 M07 −4.167 2014 M05 − 16.386* 2008 M10
PO −3.995 2006 M07 −12.091* 2001 M03 −3.989 2006 M06 −12.626* 2008 M10
RUB −3.224 2003 M08 −10.011* 2011 M03 −3.199 2003 M07 −10.266* 2008 M11
NG −4.035 2014 M05 −10.248* 2012 M08 −4.035 2014 M05 −16.092* 2009 M04
  1. Note * and ** represent 1% and 5% significance level
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