Variables

Method (C, T, n)

ADF-Value

P-Value

$\ln m_t$

(C, T, 0)

−3.481

0.076

$A_t$

(C, T, 0)

−1.794

0.659

$B_t$

(C, 0, 0)

−2.932

0.067

$C_t$

(0, 0, 0)

−1.359

0.155

$D\left(\ln m_t\right)$

(0, 0, 1)

−5.065

0.000

$D\left(A_t\right)$

(0, 0, 1)

−0.878

0.319

$D\left(B_t\right)$

(0, 0, 1)

−2.438

0.019

$D\left(C_t\right)$

(0, 0, 1)

−3.917

0.001

$D\left(\ln m_t,2\right)$

(0, 0, 2)

−8.919

0.000

$D\left(A_t,2\right)$

(0, 0, 2)

−2.959

0.006

$D\left(B_t,2\right)$

(0, 0, 2)

−5.234

0.000

$D\left(C_t,2\right)$

(0, 0, 2)

−4.612

0.000