Table 2 Unit root tests
From: Co-movement of commodity price indexes and energy price index: a wavelet coherence approach
Variables | DF-GLS | KPSS | Z-A | DF-GLS | KPSS | Z-A |
|---|---|---|---|---|---|---|
Panel A: Unit-root tests in levels | Panel B: Unit-root test in first differences | |||||
Including constant | ||||||
EPI | − 1.329 | 1.531*** | − 3.512 (2013M08)*** | − 10.821*** | 0.009 | 11.202*** |
(2008M08)** | ||||||
API | − 1.317 | 0.816*** | − 4.288 | − 13.197*** | 0.056 | − 9.695*** |
(2009M11)*** | (2011M05)*** | |||||
IPI | − 912 | 1.432*** | − 3.461 | − 11.698*** | 0.082 | − 12.457*** |
(2005M08)*** | (2011M03)*** | |||||
MPI | − 0.885 | 1.484*** | − 3.252 | − 12.156*** | 0.095 | − 13.174*** |
(2005M08)*** | (2011M03)*** | |||||
Including constant and trend | ||||||
EPI | − 2.388 | 0.184*** | − 4.534 | − 10.771*** | 0.070 | − 11.183*** |
(2010M10)*** | (2008M08)** | |||||
API | − 2.388 | 0.208** | − 4.762 | − 13.133*** | 0.048 | − 9.780*** |
(2009M11)*** | (2009M04)** | |||||
IPI | − 1.993 | 0.186** | − 3.848 | − 11.917*** | 0.071 | − 12.514 |
(2009M04)*** | (2011M04)*** | |||||
MPI | − 1.878 | 0.195** | − 3.668 | − 12.587*** | 0.084 | − 13.220*** |
(2009M04)*** | (2011M03) | |||||