Chapter 16:

Augmented Dickey-Fuller (ADF) Test:

Gross Domestic Product (GDP);

Variable Augmented Dickey-Fuller (ADF) Augmented Dickey-Fuller (ADF) Test

Test

t-stats P-value Unit-root t-stats p-value Unit-root result

GDP result
Intercept 1.838806 0.9998 I(0) -12.23710 0.0000 I(1)
Trend -1.105850 0.9243 I(0) -12.45452 0.0000 I(1)
and
intercept
none 8.028154 1.0000 I(0) -3.747369 0.0002 I(1)
(Korea)
M1:
Variable Augmented Dickey-Fuller (ADF) Augmented Dickey-Fuller (ADF) Test
Test

t-stats P-value Unit-root t-stats p-value Unit-root result

M1 result
Intercept -1.145859 0.6948 I(0) -14.88182 0.0001 I(1)
Trend -2.374523 0.3903 I(0) -14.84888 0.0000 I(1)
and
intercept
None 1.531112 0.9685 I(0) -14.53057 0.0000 I(1)
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M2:
Variable Augmented Dickey-Fuller (ADF) Augmented Dickey-Fuller (ADF) Test
Test

t-stats P-value Unit-root t-stats p-value Unit-root result

M2 result
Intercept 2.735738 1.0000 I(0) -12.92154 0.0001 I(1)
Trend -0.845712 0.9570 I(0) -13.74553 0.0000 I(1)
and
intercept
None 7.915326 1.0000 I(0) -2.704516 0.0073 I(1)
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M2_SA:
Variable Augmented Dickey-Fuller (ADF) Augmented Dickey-Fuller (ADF) Test
Test

t-stats P-value Unit-root t-stats p-value Unit-root result

M2_SA result
Intercept 3.020325 1.0000 I(0) -11.85878 0.0001 I(1)
Trend -0.811060 0.9604 I(0) -12.83981 0.0000 I(1)
and
intercept
None 8.578730 1.0000 I(0) -8.224876 0.0000 I(2)
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Share:
Variable Augmented Dickey-Fuller (ADF) Augmented Dickey-Fuller (ADF) Test
Test

t-stats P-value Unit-root t-stats p-value Unit-root result

Share result
Intercept -1.590171 0.4837 I(0) -7.471080 0.0000 I(1)
Trend -1.503655 0.8217 I(0) -7.452058 0.0000 I(1)
and
intercept
None -0.917768 0.3164 I(0) -7.472034 0.0000 I(2)
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Wages:
Variable Augmented Dickey-Fuller (ADF) Augmented Dickey-Fuller (ADF) Test
Test

t-stats P-value Unit-root t-stats p-value Unit-root result

Wages result
Intercept 0.392446 0.9816 I(0) -13.71013 0.0001 I(1)
Trend -1.960626 0.6139 I(0) -13.62780 0.0000 I(1)
and
intercept
None 9.335860 1.0000 I(0) -2.429622 0.0155 I(2)