How do supply or demand shocks affect the US oil market?

Financial Innovation

Table 7 Unit root tests

	ADF	PP	KPSS	Ng-Perron
	ADF	PP	KPSS	\({\overline{\text{M}}\text{Z}}_{\upalpha }^{{{\text{GLS}}}}\)	\({\overline{\text{M}}\text{Z}}_{{\text{t}}}^{{{\text{GLS}}}}\)	\({\overline{\text{M}}\text{SB}}^{{{\text{GLS}}}}\)	\({\overline{\text{M}}\text{PT}}^{{{\text{GLS}}}}\)
Level
WTI	− 2.153	− 2.166	0.243***	− 9.509	− 2.127	0.223	9.819
Conv. Gasoline	− 2.260	− 2.268	0.276***	− 11.597	− 2.319	0.200	8.334
RBOB	− 3.529*	− 3.559*	0.251***	− 25.982***	− 3.545***	0.136***	3.864***
Heating Oil	− 3.352*	− 3.521*	0.245***	− 8.655	− 2.009	0.232	10.795
Diesel NY	− 2.009	− 2.013	0.242***	− 9.338	− 2.072	0.222	10.137
Kerosene	− 2.016	− 2.011	0.236***	− 9.199	− 2.062	0.224	10.253
First differences
WTI	− 24.849***	− 24.874***	0.056	− 409.220***	− 14.304***	0.035***	0.059***
Conv. Gasoline	− 22.862***	− 22.916***	0.064	− 393.127***	14.017***	0.036***	0.065***
RBOB	− 23.159***	− 23.303***	0.042	− 386.337***	− 13.896***	0.036***	0.066***
Heating Oil	− 24.294***	− 41.001***	0.082	− 26.118***	− 3.610***	0.138***	0.952***
Diesel NY	− 24.361***	− 33.136***	0.088	− 49.624***	− 4.980***	0.100***	0.496***
WTI	− 24.326***	− 43.328***	0.077	− 16.821***	− 2.875***	0.171***	1.552***

ADF Augmented Dickey–Fuller, PP Philips–Perron, KPSS Kwiatkowski–Philips–Schmidt–Shin, SIC Schwartz information criterion, MSIC Modified Schwartz information criterion lag length used in ADF and PP based in SIC, MSIC in Ng-Perron, and Newey–West bandwidth used for KPSS
***, **, * indicate rejection of the null hypotheses (of unit root for ADF, PP, and NG-Perron, and of stationarity for KPSS) at 1%, 5%, and 10% levels