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Unit root tests, employing the augmented Dickey-Fuller (D-F) procedure, are performed on the levels of the time series, Ml, Q, 3-month T-bill rate, yields on 10-year T-note.
First we test for the stationary roots using augmented Dickey-Fuller test, then the Johansen's unit root test and granger causality test are applied to these variables.
Econometric Method: Unit Root Tests: Of particular interest to us is the Augmented Dickey-Fuller (ADF) test that has been developed to test univariate time series for the presence of unit roots or non-stationarity.
In order to avoid heteroscedasticity, all variables were transformed into a natural logarithm: (3) 1nSGDP = [alpha]1nSFDI + [beta]1nSDI + [gamma]1nSL + [epsilon] Empirical Results The augmented Dickey-Fuller (ADF) test was adopted to test if the series had unit root problems.
Testing for Unit Root We begin by testing for the presence of unit roots in the individual time series of each model using the augmented Dickey-Fuller (ADF) test [Dickey and Fuller (1981); Said and Dickey (1984)], both with and without a deterministic trend.
An augmented Dickey-Fuller test (1981) was used to determine the existence of unit roots in the levels of the variables.
[FIGURE 5 & 6 OMITTED] The Appendix shows augmented Dickey-Fuller (ADF) tests for stationarity of an aggregated overall capitalization rate.
The results of augmented Dickey-Fuller tests (Dickey and Fuller, 1979) are reported in Table 1.