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Table 3 Results of the test for unit roots in the presence of a possible break in trend and non-stationary volatility

From: Co-movement of commodity price indexes and energy price index: a wavelet coherence approach

  MZa MZa c.v MSB MSB c.v MZt MZt c.v t(taubar) c.v
Panel A: Unit-root tests in levels
EPI − 12.790 − 23.366 0.192 0.145 − 2.453 − 3.399 − 2.408 − 3.505
API − 10.458 − 19.552 0.215 0.159 − 2.246 − 3.106 − 2.236 − 3.182
IPI − 7.812 − 22.709 0.249 0.146 − 1.948 − 3.364 − 1.922 − 3.466
MPI − 5.522 − 21.920 0.300 0.150 − 1.658 − 3.289 − 1.642 − 3.384
Panel B: Unit-root test in first differences
EPI − 123.572 − 25.857 0.064 0.136 − 7.859 − 3.508 − 9.153 − 3.352
API − 129.303 − 24.170 0.062 0.142 − 8.035 − 3.443 − 9.592 − 2.936
IPI − 41.975 − 26.526 0.109 0.134 − 3.577 − 3.615 − 4.257 − 3.492
MPI − 22.224 − 24.787 0.150 0.141 − 3.324 − 3.513 − 3.434 − 3.293
  1. c.v. represents critical value