Table 11 Unit root tests (ADF, DF-GLS, and Ng-Perron)

From: Lack of fiscal transparency and economic growth expectations: an empirical assessment from a large emerging economy

Variable: ADF DF-GLS Ng-Perron
Lags I/T Test C.V.a (10%) Lags I/T Test C.V.b (10%) Lags I/T MZa Test C.V.c (10%) MZt Test C.V.c (10%)
E(Yt,T) 0 I/T − 3.627 − 3.440 0 I − 1.617 − 1.615 0 I − 5.318 − 5.700 − 1.594 − 1.620
E(Yt,T+12m) 1 I − 3.786 − 3.114 1 I/T − 2.920 − 2.664 1 I/T − 18.108 − 4.200 − 2.992 − 2.620
E(Yt,T+1) 0 I − 3.491 − 3.114 0 I/T − 2.149 − 2.663 12 I/T − 21.665 − 14.200 − 3.285 − 2.620
E(Yt,T,pri) 0 I − 3.782 − 3.167 12 I − 2.492 − 1.615 12 I − 12.197 − 5.700 − 2.375 − 1.620
E(Yt,T+12m,pri) 1 I − 4.931 − 3.057 1 I/T − 4.182 − 2.664 1 I/T − 34.822 − 14.200 − 4.169 − 2.620
E(Yt,T+1,pri) 0 I − 5.497 − 2.942 0 I/T − 3.443 − 2.663 2 I/T − 11.540 − 14.200 − 2.402 − 2.620
E(Yt,T,man) 0 I/T − 4.187 − 3.440 0 I − 1.936 − 1.616 0 I − 7.360 − 5.700 − 1.897 − 1.620
E(Yt,T+12m,man) 1 I − 3.575 − 3.343 1 I/T − 2.990 − 2.664 1 I/T − 18.639 − 14.200 − 3.027 − 2.620
E(Yt,T+1,man) 0 I/T − 3.950 − 3.770 0 I − 1.656 − 1.616 1 I − 4.602 − 5.700 − 1.480 − 1.620
E(Yt,T,serv) 0 I − 3.197 − 3.172 0 I − 1.295 − 1.616 3 I − 6.926 − 5.700 − 1.838 − 1.620
E(Yt,T+12m,serv) 3 I/T − 3.689 − 2.449 3 I − 2.072 − 1.616 1 I − 5.416 − 5.700 − 1.631 − 1.620
E(Yt,T+1,serv) 12 I − 3.982 − 2.439 12 I − 2.105 − 1.616 13 I − 15.599 − 5.700 − 2.769 − 1.620
FOPACt,T 12 I − 4.079 − 2.713 12 I/T − 3.237 − 2.675 13 I/T − 69.517 − 14.200 − 5.884 − 2.620
FOPACt,T+12m 3 I − 3.666 -2.426 1 I -2.381 -1.616 1 I -11.404 -5.700 -2.387 -1.620
FOPACt,T+1 0 I -2.416 -2.397 2 I -1.690 -1.615 2 I -5.696 -5.700 -1.728 -1.620
FOPACpc 1 I/T -3.249 -2.406 1 I -1.786 -1.615 1 I -6.447 -5.700 -1.795 -1.620
Uncertainty 0 I − 4.981 − 2.439 0 I/T − 4.012 − 2.663 0 I/T − 27.180 − 14.200 − 3.686 − 2.620
GAP 13 I − 5.702 − 2.437 1 I/T − 2.937 − 2.664 1 I/T − 16.835 − 14.200 − 2.893 − 2.620
E(GBudgett,+12m) 1 I − 2.723 − 2.434 6 I/T − 1.889 − 2.669 10 I/T − 18.834 − 14.200 − 3.060 − 2.620
ΔE(Exchange t,+12m) 1 I − 7.091 − 2.410 0 I/T − 5.154 − 2.664 9 I/T − 18.820 − 14.200 − 3.008 − 2.620
E(πt+12m)-Target(πt+12m) 1 I − 3.101 − 2.421 3 I − 2.123 − 1.615 3 I − 10.061 − 5.700 − 2.226 − 1.620
DISGOV 3 I − 4.830 − 2.441 3 I/T − 1.877 − 2.666 0 I/T − 87.555 − 14.200 − 6.592 − 2.620
  1. C.V. = critical value. Trend (T) and intercept (I) are included based on Schwarz criterion. (a) Perron (1989, 1993) asymptotic one-sided p-values. (b) MacKinnon (1996). (c) Ng and Perron (2001). ADF—number of lags based on Schwarz criterion for ADF and DF-GLS tests, and modified Akaike for Ng-Perron test. ADF is the breakpoint unit root test (modified augmented Dickey–Fuller tests). Breakpoint selection by Dickey–Fuller min-t