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

Journal of Economic Structures

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

Table 3 Wavelet-based Fourier ADF unit root test

	Test statistics	t-statistics	k	p
OV	− 5.2134	− 2.8602***	1	2
EV	− 6.5952	− 2.8762***	3	2
ADS	− 7.1965	− 3.1538***	2	7
EPU	− 4.9619	− 2.6509**	3	5
GPR	− 3.8291	− 2.0825**	1	6

The optimal lag lengths (p) were selected automatically using the SIC. k indicates the frequency of the Fourier term. %1, %5, and %10 critical values of t-statistics are 2.85, 2.01, and 1.60, respectively. All critical values were obtained using Monte Carlo Simulation with 250 observations and 10,000 replications and k = 1, 2, 3, 4, 5
^*,**, and *** denote the significant levels at 10%, 5%, and 1%, respectively