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