Dickey and Fuller [11]

Elliot et al. [12]

A. Detrended test in levels

i

−3.83 (1)**

−2.36 (2)

${\pi }_1$

−2.45 (2)

−1.67 (2)

${\pi }_2$

−2.50 (0)

−1.08 (0)

B. Demeaned test in first differences

$\Delta i$

−9.94 (3)***

−4.81 (6)***

$\Delta {\pi }_1$

−8.23 (1)***

−6.78 (2)***

$\Delta {\pi }_2$

−17.46 (0)***

−6.31 (4)***