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Annex III. Unit Root Test. Cointegrating equation residuals
Mexico. Quarterly frequency. 1993:01 - 2014:02
equation (1)
-3.4911 0.0107
5%
-2.8977
a
resid
0
ADF
4
§
-3.4751 0.0490
5%
-3.4662
b
-3.5116 0.0006
1%
-2.5938
c
equation (2)
-3.7551 0.0049
1%
-3.5133
a
resid
0
ADF
4
§
-3.6338 0.0331
5%
-3.4662
b
-3.7947 0.0002
1%
-2.5938
c
Notes:
* MacKinnon (1996) one-sided p-values.
§
Automatic - based on SIC, maxlag=11.
** In the test equation: a intercept; b trend and intercept; c none.
ADF: Augmented Dickey-Fuller.
Note: the residuals from equation (1) and (2) are stationary.
Source: Own estimates.
Includes**
Significance
level (critical
values)
t-Statistic
Test critical
values
Prob.*
Nemonic Integration
order
Test type Lag length