Is pass-through of the exchange rate to restaurant and hotel prices asymmetric in the US? Role of monetary policy uncertainty

Financial Innovation

Table 3 Unit root tests

Variable	ADF test		KPSS test		PP test
Variable	Model A	Model B	Model A	Model B	Model A	Model B
Panel A: Ln Level Series
lnRHP_t	− 1.2343	− 2.6658	1.8060**	0.3740***	− 1.1361	− 2.6178
lnNEER_t	− 2.1265	− 2.1205	0.4080*	0.4081***	− 1.8183	− 1.7359
lnMP_t	− 6.7715***	− 7.1822***	0.5875**	0.1000***	− 6.7036***	− 7.1358***
lnEPR_t	− 2.7919*	− 2.3928	0.5719**	0.3530***	− 2.6847*	− 2.2373
Panel B: Ln First Difference Series
∆lnRHP_t	− 2.2047	− 2.4143	0.1116	0.0209	− 9.0534***	− 9.0257***
∆lnNEER_t	− 9.2629***	− 9.2828***	0.3594*	0.0378	− 9.3790***	− 9.5511***
∆lnMP_t	− 19.227***	− 19.195***	0.1726	0.1178***	− 29.084***	− 28.189***
∆lnEPR_t	− 10.166***	− 10.305***	0.2857	0.0434	− 10.179***	− 10.321***

This table reports the results of the augmented Dickey-Fuller (ADF), Kwiatkowski-Phillips-Schmidt-Shin (KPSS), and Phillips-Perron (PP) unit root tests. Model A includes only a constant as a deterministic component in tests regression; model B includes both a constant and a linear time trend. The null hypothesis for the ADF and PP tests simply states that the series is nonstationary, but it is stationary in the case of the KPSS test. ***, **, and *denote significance at 1%, 5%, and 10% levels respectively. Ln denotes the natural logarithm of the series. We selected an automatic lag length of max. (10) based on Schwarz Information Criterion