variable

LNCI

LNECI

LNCCI

LNMCI

LNGCI

LNSCI

TREND

c

Trend and constant selection

Lag order interval selection

LNDRR

−0.383

(2.715)

−1.293

(0.509)

−0.811

(0.811)

4.461

(2.214)

0.019

(0.003)

10.539

Linear trend and

constant

1to2

NCS

−852.575

(922.506)

5.160

(2.453)

4679.578

Linear trend and

constant

1to4

LNIBOR

1.765

(2.875)

−3.454

(2.441)

13.565

Constant

1to2

LNER

0.795

(0.227)

−0.165

(0.192)

2.580

Constant

1to2

LNM0

−3.487

(0.756)

3.264

(0.676)

0.005

(0.001)

11.137

Linear trend and

constant

1to1

LNM1

−0.813

(0.223)

−0.621

(0.265)

0.006

(0.001)

20.828

Linear trend and

constant

1to2

LNM2

−3.930

(2.560)

3.833

(2.232)

15.833

(4.204)

Constant

1to4