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Journal of Economic Structures

The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 4 Linear and nonlinear unit root tests

From: The dynamics of fiscal policy in Algeria: sustainability and structural change

Linear unit-root tests

Nonlinear unit-root tests

 

Deterministic components

Lags

Statistic

 

Deterministic components

Lags

Statistic

ADF

Trend and intercept

2

− 1.2545

KSS (2003)

Case 3

3

− 1.4533

t NL

PP

Trend and intercept

2

− 2.4969

Sollis (2009)

Case 3

3

5.35697

F AE,t

KPSS

Trend and intercept

2

0.33253

Hepsag (2019)

Model C

3

11.1976

τ SNLαβ

Ng and Perron (2001)

Trend and intercept

2

MZa

MZt

MSB

MPT

 

− 2.0517

− 0.9224

0.44957

39.2977

  1. ADF and PP: Critical values are: − 4.001, − 3.430 and − 3.139 at 1%, 5% and 10% respectively
  2. KPSS: Critical values are: 0.216, 0.146 and 0.119 at 1%, 5% and 10% respectively
  3. KSS (2003): Critical values for the detrended and demeaned data are: 0.216, 0.146, and 0.119 at 1%, 5% and 10% respectively
  4. Sollis (2009): Critical values are: 8.531, 6.463 and 5.460 at 1%, 5% and 10% respectively
  5. Ng and Perron (2001): Critical values at 5% are: − 17.3000, − 2.91000, 0.16800, 5.48000
  6. Hepsag (2019): Critical values are: 16.897, 12.621 and 10.749 at 1%, 5% and 10% respectively
  7. See Additional file 1
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