GPM changes Dickey-Fuller test

Number of samples

25

Z-statistics

1% Significance level/critical value

5% Significance level/critical value

10% Significance level/critical value

−1.779

−2.518

−1.721

−1.323

p-value of Z-statistics = 0.0449

BLR changes Dickey-Fuller test

Number of samples

25

Z-statistics

1% Significance level/critical value

5% Significance level/critical value

10% Significance level/critical value

−3.72

−2.518

−1.721

−1.323

p-value of Z-statistics = 0.0006