Skip to main content
Financial Innovation

Table 1 ADF unit root and pp stationarity tests

From: Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?

Variables

Levels

First-order difference

ADF

PP

ADF

PP

sp(sh)

− 4.408***

− 3.332**

− 9.386***

− 9.842***

sp(sz)

− 2.503

− 2.683*

− 9.871***

− 10.105***

neer

1.304

1.383

− 10.109***

− 10.166***

m2

− 2.664*

− 4.649***

− 3.109

− 16.132***

ipi

− 0.775

− 0.774

− 4.361***

− 4.361***

i

− 5.076***

− 4.101***

− 12.805***

− 24.365***

fr

− 3.705***

− 2.516

− 4.508***

− 10.974***

comm

− 1.650

0.838

− 2.570**

− 2.570**

  1. (1) The test equation includes both trend and intercept, and the optimal lags are determined using the Schwarz information criterion. The maximum lags are 8. (2) The p-values of the ADF and PP tests adopt MacKinnon’s (1996) one-sided p-values. (3) ***, ** and * denote significance at the 1%, 5% and 10% levels, respectively. (3) The null hypothesis of both the ADF and PP tests are that the series have a unit root. If the null hypothesis is rejected, we can conclude that the series is stationary
Back to article page