Skip to main content

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)
  1. ***, **, and * denote statistically significant at 1%, 5%, and 10% levels, respectively