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*