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This document provides the results of several unit root tests performed on twelve time series (X1 through X12). The tests include the Levin-Lin-Chu test, Im-Pesaran-Shin test, ADF-Fisher Chi-square test, and PP-Fisher Chi-square test. All tests reject the null hypothesis of a unit root at various significance levels, providing evidence that the time series are stationary.

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88 views6 pages

12

This document provides the results of several unit root tests performed on twelve time series (X1 through X12). The tests include the Levin-Lin-Chu test, Im-Pesaran-Shin test, ADF-Fisher Chi-square test, and PP-Fisher Chi-square test. All tests reject the null hypothesis of a unit root at various significance levels, providing evidence that the time series are stationary.

Uploaded by

daho
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as RTF, PDF, TXT or read online on Scribd
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Group unit root test: Summary

Series: X1, X2, X3, X4, X5, X6, X7, X8, X9, X10, X11, X12
Date: 05/01/24 Time: 15:49
Sample: 2019 2023
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0
Newey-West automatic bandwidth selection and Bartlett kernel

Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* -22.4717 0.0000 12 47

Null: Unit root (assumes individual unit root process)


Im, Pesaran and Shin W-stat -11.8605 0.0000 11 44
ADF - Fisher Chi-square 65.1657 0.0000 12 47
PP - Fisher Chi-square 64.4630 0.0000 12 47

** Probabilities for Fisher tests are computed using an asymptotic Chi


-square distribution. All other tests assume asymptotic normality.

Null Hypothesis: Unit root (common unit root process)


Series: X1, X2, X3, X4, X5, X6, X7, X8, X9, X10, X11, X12
Date: 05/01/24 Time: 15:50
Sample: 2019 2023
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0
Newey-West automatic bandwidth selection and Bartlett kernel
Total number of observations: 47
Cross-sections included: 12

Statisti
Method c Prob.**
-
22.471 0.000
Levin, Lin & Chu t* 7 0

** Probabilities are computed assuming asympotic normality

Intermediate results on UNTITLED

2nd Stage Variance HAC of Max Band-


Series Coefficient of Reg Dep. Lag Lag width Obs
X1 -2.49844 1.E+09 5.E+10 0 0 3.0 4
X2 -1.89623 4.E+10 1.E+11 0 0 3.0 4
X3 -1.96952 2.E+11 4.E+11 0 0 0.0 4
X4 -1.03123 9.E+09 4.E+12 0 0 1.0 4
X5 0.45125 6.E+11 6.E+11 0 0 0.0 3
X6 -0.58671 7.E+11 9.E+11 0 0 1.0 4
X7 -1.39974 4.E+11 4.E+11 0 0 2.0 4
X8 -4.18588 7.E+12 7.E+12 0 0 2.0 4
X9 -1.34482 1.E+12 7.E+11 0 0 3.0 4
X10 -1.30422 3.E+11 2.E+11 0 0 3.0 4
X11 -3.04972 9.E+11 2.E+12 0 0 3.0 4
X12 -3.27297 5.E+12 4.E+12 0 0 3.0 4
Coefficient t-Stat SE Reg mu* sig* Obs
Pooled -1.10964 -21.222 2.477 -0.554 0.919 47

Null Hypothesis: Unit root (common unit root process)


Series: X1, X2, X3, X4, X5, X6, X7, X8, X9, X10, X11, X12
Date: 05/01/24 Time: 15:51
Sample: 2019 2023
Exogenous variables: Individual effects, individual linear trends
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0
Total number of observations: 35
Cross-sections included: 12

Method Statistic Prob.**


Breitung t-stat 3.17419 0.9992

** Probabilities are computed assuming asympotic normality

Intermediate regression results on UNTITLED

S.E. of
Series Regression Lag Max Lag Obs
X1 407451. 0 0 4
X2 827196. 0 0 4
X3 557025. 0 0 4
X4 1748021 0 0 4
X5 20115.4 0 0 3
X6 1195848 0 0 4
X7 1181798 0 0 4
X8 2868061 0 0 4
X9 1818400 0 0 4
X10 1130580 0 0 4
X11 2221271 0 0 4
X12 2694028 0 0 4

Coefficient t-Stat SE Reg Obs


Pooled 0.66932 3.174 0.211 35
Null Hypothesis: Unit root (individual unit root process)
Series: X1, X2, X3, X4, X5, X6, X7, X8, X9, X10, X11, X12
Date: 05/01/24 Time: 15:53
Sample: 2019 2023
Exogenous variables: Individual effects, individual linear trends
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0
Total (balanced) observations: 44
Cross-sections included: 11 (1 dropped)

Statisti
Method c Prob.**
-
12.524
Im, Pesaran and Shin W-stat 2 0.0000
-
14.544
Im, Pesaran and Shin t-bar 1
-
1% 2.8298
T-bar critical values ***: level 7
-
5% 1.0207
level 7
-
10% 0.4819
level 2

** Probabilities are computed assuming asympotic normality


*** Critical values from original paper

Intermediate ADF test results

Max
Series t-Stat Prob. E(t) E(Var) Lag Lag Obs
X1 -13.585 0.0059 -1.970 11.087 0 0 4
X2 -4.9193 0.1113 -1.970 11.087 0 0 4
X3 -0.6778 0.8660 -1.970 11.087 0 0 4
X4 -118.73 0.0001 -1.970 11.087 0 0 4
X5 Dropped from Test
X6 -1.8121 0.6134 -1.970 11.087 0 0 4
X7 -2.1577 0.4193 -1.970 11.087 0 0 4
X8 -3.8216 0.2166 -1.970 11.087 0 0 4
X9 -1.2437 0.7696 -1.970 11.087 0 0 4
X10 -1.9816 0.4717 -1.970 11.087 0 0 4
X11 -6.7689 0.0482 -1.970 11.087 0 0 4
X12 -4.2902 0.1458 -1.970 11.087 0 0 4

Average -14.544 -1.970 11.087

Warning: for some series the expected mean and variance for the given
lag and observation are not covered in IPS paper
Null Hypothesis: Unit root (individual unit root process)
Series: X1, X2, X3, X4, X5, X6, X7, X8, X9, X10, X11, X12
Date: 05/01/24 Time: 15:53
Sample: 2019 2023
Exogenous variables: Individual effects, individual linear trends
Automatic selection of maximum lags
Automatic lag length selection based on SIC: 0
Total (balanced) observations: 44
Cross-sections included: 11 (1 dropped)

Method Statistic Prob.**


ADF - Fisher Chi-square 51.0862 0.0004
ADF - Choi Z-stat -2.74359 0.0030

** Probabilities for Fisher tests are computed using an asymptotic Chi


-square distribution. All other tests assume asymptotic normality.

Intermediate ADF test results UNTITLED

Series Prob. Lag Max Lag Obs


X1 0.0059 0 0 4
X2 0.1113 0 0 4
X3 0.8660 0 0 4
X4 0.0001 0 0 4
X5 Dropped from Test
X6 0.6134 0 0 4
X7 0.4193 0 0 4
X8 0.2166 0 0 4
X9 0.7696 0 0 4
X10 0.4717 0 0 4
X11 0.0482 0 0 4
X12 0.1458 0 0 4
Null Hypothesis: Unit root (individual unit root process)
Series: X1, X2, X3, X4, X5, X6, X7, X8, X9, X10, X11, X12
Date: 05/01/24 Time: 15:54
Sample: 2019 2023
Exogenous variables: Individual effects, individual linear
trends
Newey-West automatic bandwidth selection and Bartlett
kernel
Total (balanced) observations: 44
Cross-sections included: 11 (1 dropped)

Method Statistic Prob.**


PP - Fisher Chi-square 70.7365 0.0000
PP - Choi Z-stat -3.52061 0.0002

** Probabilities for Fisher tests are computed using an


asymptotic Chi-square distribution. All other tests
assume asymptotic normality.

Intermediate Phillips-Perron test results UNTITLED

Series Prob. Bandwidth Obs


X1 0.0006 2.0 4
X2 0.0154 3.0 4
X3 0.9999 3.0 4
X4 0.0001 3.0 4
X5 Dropped from Test
X6 0.4026 3.0 4
X7 0.2328 3.0 4
X8 0.0646 3.0 4
X9 0.8189 3.0 4
X10 0.3487 2.0 4
X11 0.0081 2.0 4
X12 0.0346 3.0 4
Null Hypothesis: Stationarity
Series: X1, X2, X3, X4, X5, X6, X7, X8, X9, X10, X11, X12
Date: 05/01/24 Time: 15:55
Sample: 2019 2023
Exogenous variables: Individual effects, individual linear trends
Newey-West automatic bandwidth selection and Bartlett kernel
Total number of observations: 59
Cross-sections included: 12

Method Statistic Prob.**


Hadri Z-stat 20.0669 0.0000
Heteroscedastic Consistent Z-stat 25.9092 0.0000

* Note: High autocorrelation leads to severe size distortion in Hadri test,


leading to over-rejection of the null.
** Probabilities are computed assuming asympotic normality

Intermediate results on UNTITLED

Variance
Series LM HAC Bandwidth Obs
X1 0.0800 4.70E+10 0.0 5
X2 0.3172 2.37E+10 1.0 5
X3 0.5000 3.64E+10 4.0 5
X4 0.5000 4.59E+11 4.0 5
X5 0.1667 1.64E+11 1.0 4
X6 0.5000 6.32E+10 4.0 5
X7 0.5000 5.30E+10 4.0 5
X8 0.5000 8.47E+11 4.0 5
X9 0.5000 1.87E+11 4.0 5
X10 0.5000 3.52E+10 4.0 5
X11 0.0865 1.60E+12 0.0 5
X12 0.4000 7.36E+11 3.0 5

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