Series | Sub-sample 1: Jan/2003 to Sep/2008 | Sub-sample 2: Oct/2008 to May/2016 | ||||
Level | p-value | Order of integration | Level | p-value | Order of integration | |
Selic | −0.011894 | 0.003 | I(0)—no drift | −0.23001 | 0.000526 | I(1)—no drift |
GDP | −1.0981 | 8.49E−01 | I(1)—drift | −0.65764 | 7.937E−01 | I(1)—no drift |
ER | −1.07007 | 1.44E−01 | I(1)—drift | −0.85469 | 2.797E−02 | I(1)—no drift |
IPCA | −0.435184 | 1.59E−01 | I(0)—drift | −0.33984 | 0.000836 | I(0)—drift |
EI | 0.629357 | 9.44E−01 | I(0)—drift and trend | −0.25109 | 0.007482 | I(0)—drift |
FC | −1.29605 | 1.93E−05 | I(2)—no drift | −0.988043 | 8.112E−01 | I(1)—drift and trend |
DC | −0.558406 | 0.0001 | I(1)—drift | −0.557242 | 2.282E−01 | I(1)—drift and trend |
SWAP | −0.095061 | 0.000973 | I(0)—drift | −0.742944 | 2.462E−01 | I(1)—no drift |
EMBI | −0.119647 | 1.14E−01 | I(0)—drift | −0.85501 | 8.152E−03 | I(1)—no drift |
CPI | −0.55823 | 1.11E−01 | I(1)—no drift | −0.495458 | 2.958E−01 | I(1)—no drift |
FFR | −0.308943 | 0.000853 | I(1)—drift | −0.315556 | 1.285E−07 | I(0)—no drift |