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Table 3 Results of CIPS panel unit root test

From: Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

Variables

Level

First differences

Intercept

Intercept and trend

Intercept

Intercept and trend

SPI

 − 1.611

 − 2.347

 − 16.837*

 − 16.857*

IPI

 − 1.689

 − 1.818

 − 4.875*

 − 5.060*

SPI−

 − 0.398

 − 1.240

 − 17.096*

 − 17.170*

IPI−

0.208

 − 0.713

 − 6.730*

 − 7.869*

SPI+

 − 0.979

 − 0.987

 − 16.167*

 − 16.451*

IPI+

0.055

 − 0.889

 − 5.925*

 − 7.111*

  1. Critical values for the CIPS panel unit root test with an intercept term at 10%, 5%, and 1% levels are − 2.21, − 2.32, and − 2.53, and with an intercept and a trend term are 2.72, − 2.83, and − 3.03 respectively
  2. *The significance at the 1% level