Augmented Dickey Fuller | Philips and Perron | |||
At Level | First Difference | At Level | First Difference | |
e | −2.1 | −13.8* | −2.2 | −13.8* |
(m − m*) | −1.5 | −14.5* | −1.2 | −14.5* |
(y − y*) | −2.2 | −10.8* | −3.8 | −39.8* |
(i − i*) | −2.3 | −12.4* | −2.4 | −14.1* |