|
|
| Linear tests |
| Nonlinear test |
Country | Lags | ADF t-Stat | PP t-Stat | KPSS t-Stat | KSS t-Stat |
US | 5 | −32.4191*** | −79.4678*** | 0.1229 | −8.8876*** |
| 10 | −23.7550*** | −79.8371*** | 0.1334 | −7.5204*** |
| 20 | −16.9259*** | −80.0088*** | 0.1381 | −5.8589*** |
UK | 5 | −33.3257*** | −75.4360*** | 0.0519 | −6.8314*** |
| 10 | −23.5909*** | −75.7589*** | 0.0562 | −4.4711*** |
| 20 | −17.3729*** | −76.2349*** | 0.0612 | −2.9858*** |
GER | 5 | −31.8897*** | −74.3820*** | 0.0624 | −6.3861*** |
| 10 | −22.7318*** | −74.5340*** | 0.0666 | −3.4338*** |
| 20 | −16.0551*** | −74.5598*** | 0.0672 | −2.0239** |
FRN | 5 | −33.5438*** | −75.3145*** | 0.0516 | −5.4997*** |
| 10 | −24.1044*** | −75.7370*** | 0.0573 | −2.8954*** |
| 20 | −16.1439*** | −75.9618*** | 0.0598 | −1.1300 |
CN | 5 | −29.7832*** | −70.6734*** | 0.0650 | −9.8030*** |
| 10 | −21.0009*** | −70.6684*** | 0.0653 | −5.0273*** |
| 20 | −14.2351*** | −70.7926*** | 0.0604 | −2.4464*** |
JP | 5 | −30.9740*** | −74.5270*** | 0.1456 | −8.5927*** |
| 10 | −21.9923*** | −74.6321*** | 0.1525 | −6.5066*** |
| 20 | −16.4256*** | −74.6703*** | 0.1551 | −5.1465*** |