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Journal of Economic Structures

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

Table 2 Conventional unit root tests

From: Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis

 

ADF

PP

KPSS

DF-GLS

OV

− 4.2866***

− 9.4769***

0.5720

0.4937

EV

− 5.2893***

− 23.0522***

0.0965

0.7417

ADS

− 3.6788***

− 3.0951**

0.1051

1.0564

EPU

− 2.9261**

− 8.3792***

0.0780

1.8874

GPR

− 5.8253***

− 25.2106***

0.3788*

0.5795

  1. ADF augmented Dickey-Fuller test with null hypothesis that a unit root is present, PP Phillips-Perron test with null hypothesis that a unit root is present, KPSS Kwiatkowski–Phillips–Schmidt–Shin test with null hypothesis of stationary around a deterministic trend, DF-GLS Elliott-Rothenberg-Stock test with the null hypothesis of a unit root against the alternative of stationarity. The optimal lag lengths (p) were selected automatically using the SIC
  2. *,**, and *** denote the significant levels at 10%, 5%, and 1%, respectively
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