variable | Augmented Dickey- Fullertest statistic | Test type (c,t,n) | 1% level | 5% level | 10% level | Durbin-Watson stat | Whether stable or not |
LNDRR | −1.482 | (c,t,3) | −3.998 | −3.429 | −3.138 | 2.014 | No |
NCR | −2.733 | (c,t,12) | −4.000 | −3.430 | −3.139 | 2.008 | No |
LNIBOR | −3.025 | (c,t,2) | −3.998 | −3.429 | −3.138 | 1.995 | No |
LNER | −1.199 | (c,t,1) | −3.998 | −3.429 | −3.138 | 1.987 | No |
LNM0 | −1.936 | (c,t,14) | −4.001 | −3.430 | −3.139 | 2.070 | No |
LNM1 | −1.532 | (c,t,12) | −4.000 | −3.430 | −3.139 | 2.079 | No |
LNM2 | −1.474 | (c,t,12) | −4.000 | −3.430 | −3.139 | 1.939 | No |
LNCI | 0.741 | (0,0,1) | −2.575 | −1.942 | −1.616 | 2.026 | No |
LNECI | −2.777 | (c,t,1) | −3.998 | −3.429 | −3.138 | 1.969 | No |
LNCCI | −1.682 | (c,0,5) | −3.459 | −2.874 | −2.574 | 1.998 | No |
LNMCI | 0.841 | (0,0,1) | −2.575 | −1.942 | −1.616 | 2.019 | No |
LNGCI | −1.748 | (c,t,1) | −3.998 | −3.429 | −3.138 | 2.012 | No |
LNOCI | 0.136 | (0,0,0) | −2.575 | −1.942 | −1.616 | 1.934 | No |
LNSCI | −0.359 | (0,0,5) | −2.575 | −1.942 | −1.616 | 2.006 | No |
D(LNDRR) | −4.665 | (0,0,2) | −2.575 | −1.942 | −1.616 | 2.027 | Yes |
D(NCR) | −8.706 | (0,0,13) | −2.576 | −1.942 | −1.616 | 1.994 | Yes |
D(LNIBOR) | −15.123 | (0,0,1) | −2.575 | −1.942 | −1.616 | 2.015 | Yes |
D(LNER) | −11.300 | (0,0,0) | −2.575 | −1.942 | −1.616 | 1.993 | Yes |
D(LNM0) | −3.195 | (c,0,14) | −3.460 | −2.875 | −2.574 | 2.070 | Yes * |
D(LNM1) | −2.252 | (0,0,6) | −2.575 | −1.942 | −1.616 | 1.971 | Yes * |
D(LNM2) | −6.996 | (c,t,7) | −3.999 | −3.430 | −3.139 | 1.947 | Yes |
D(LNCI) | −12.415 | (0,0,0) | −2.575 | −1.942 | −1.616 | 2.028 | Yes |
D(LNECI) | −10.633 | (0,0,1) | −2.575 | −1.942 | −1.616 | 1.999 | Yes |
D(LNCCI) | −8.851 | (0,0,4) | −2.575 | −1.942 | −1.616 | 2.002 | Yes |
D(LNMCI) | −12.501 | (0,0,0) | −2.575 | −1.942 | −1.616 | 2.021 | Yes |
D(LNGCI) | −13.031 | (0,0,0) | −2.575 | −1.942 | −1.616 | 2.014 | Yes |
D(LNOCI) | −14.784 | (0,0,0) | −2.575 | −1.942 | −1.616 | 1.974 | Yes |
D(LNSCI) | −6.604 | (0,0,4) | −2.575 | −1.942 | −1.616 | 2.006 | Yes |