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Augmented Dickney Fuller and Phillip-Peron Tests: Prior To Global Contagion

This document contains the results of Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests performed on daily stock market data from various countries (Africa, US, India, South Africa, etc.) between 2006 and 2010. The ADF and PP tests examine whether the stock market data contained a unit root (was non-stationary) or not. The test statistics from each model are compared to critical values to determine whether to reject the hypothesis of a unit root. Most of the test statistics were significantly negative, suggesting the data was stationary with no unit root.

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100 views10 pages

Augmented Dickney Fuller and Phillip-Peron Tests: Prior To Global Contagion

This document contains the results of Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests performed on daily stock market data from various countries (Africa, US, India, South Africa, etc.) between 2006 and 2010. The ADF and PP tests examine whether the stock market data contained a unit root (was non-stationary) or not. The test statistics from each model are compared to critical values to determine whether to reject the hypothesis of a unit root. Most of the test statistics were significantly negative, suggesting the data was stationary with no unit root.

Uploaded by

olusolaat
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOC, PDF, TXT or read online on Scribd
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AUGMENTED DICKNEY FULLER AND PHILLIP-PERON TESTS : PRIOR TO GLOBAL CONTAGION.

ADF Test Statistic -4.589251 1% Critical Value* -3.4572


5% Critical Value -2.8728
10% Critical Value -2.5727
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(AFRICA)
Method: Least Squares
Date: 07/20/10 Time: 20:56
Sample(adjusted): 1/03/2006 12/29/2006
Included observations: 259 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
AFRICA(-1) -0.153064 0.033353 -4.589251 0.0000
C 5980.693 1303.772 4.587224 0.0000
R-squared 0.075743 Mean dependent var 41.78764
Adjusted R-squared 0.072147 S.D. dependent var 2649.666
S.E. of regression 2552.295 Akaike info criterion 18.53507
Sum squared resid 1.67E+09 Schwarz criterion 18.56253
Log likelihood -2398.291 F-statistic 21.06123
Durbin-Watson stat 2.752808 Prob(F-statistic) 0.000007

ADF Test Statistic -15.91991 1% Critical Value* -3.4572


5% Critical Value -2.8728
10% Critical Value -2.5727
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(US)
Method: Least Squares
Date: 07/20/10 Time: 20:58
Sample(adjusted): 1/03/2006 12/29/2006
Included observations: 259 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
US(-1) -0.993017 0.062376 -15.91991 0.0000
C 11698.15 839.3826 13.93661 0.0000
R-squared 0.496516 Mean dependent var 6.386525
Adjusted R-squared 0.494557 S.D. dependent var 9200.741
S.E. of regression 6541.222 Akaike info criterion 20.41733
Sum squared resid 1.10E+10 Schwarz criterion 20.44479
Log likelihood -2642.044 F-statistic 253.4434
Durbin-Watson stat 2.000150 Prob(F-statistic) 0.000000
ADF Test Statistic -4.942851 1% Critical Value* -3.4588
5% Critical Value -2.8735
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(NSE)
Method: Least Squares
Date: 07/20/10 Time: 20:59
Sample(adjusted): 1/03/2006 12/07/2006
Included observations: 243 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
NSE(-1) -0.185485 0.037526 -4.942851 0.0000
C 5207.906 1059.311 4.916317 0.0000
R-squared 0.092045 Mean dependent var 37.46333
Adjusted R-squared 0.088278 S.D. dependent var 2728.358
S.E. of regression 2605.149 Akaike info criterion 18.57656
Sum squared resid 1.64E+09 Schwarz criterion 18.60531
Log likelihood -2255.053 F-statistic 24.43178
Durbin-Watson stat 2.710117 Prob(F-statistic) 0.000001

ADF Test Statistic -0.781766 1% Critical Value* -3.4588


5% Critical Value -2.8735
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(JSE)
Method: Least Squares
Date: 07/20/10 Time: 21:00
Sample(adjusted): 1/03/2006 12/07/2006
Included observations: 243 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
JSE(-1) -0.007464 0.009548 -0.781766 0.4351
C 37.12104 40.76449 0.910622 0.3634
R-squared 0.002530 Mean dependent var 5.350082
Adjusted R-squared -0.001609 S.D. dependent var 49.58879
S.E. of regression 49.62868 Akaike info criterion 10.65521
Sum squared resid 593584.4 Schwarz criterion 10.68396
Log likelihood -1292.608 F-statistic 0.611158
Durbin-Watson stat 2.036632 Prob(F-statistic) 0.435119

ADF Test Statistic -1.208195 1% Critical Value* -3.4588


5% Critical Value -2.8735
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(CASE)
Method: Least Squares
Date: 07/20/10 Time: 21:01
Sample(adjusted): 1/03/2006 12/07/2006
Included observations: 243 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
CASE(-1) -0.013375 0.011070 -1.208195 0.2282
C 86.15027 70.20762 1.227079 0.2210
R-squared 0.006021 Mean dependent var 1.934156
Adjusted R-squared 0.001896 S.D. dependent var 130.9680
S.E. of regression 130.8437 Akaike info criterion 12.59408
Sum squared resid 4125940. Schwarz criterion 12.62283
Log likelihood -1528.181 F-statistic 1.459735
Durbin-Watson stat 1.711862 Prob(F-statistic) 0.228156

ADF Test Statistic -15.85878 1% Critical Value* -3.4589


5% Critical Value -2.8736
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(JSE,2)
Method: Least Squares
Date: 07/20/10 Time: 21:02
Sample(adjusted): 1/04/2006 12/07/2006
Included observations: 242 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(JSE(-1)) -1.023400 0.064532 -15.85878 0.0000
C 5.497898 3.218713 1.708104 0.0889
R-squared 0.511700 Mean dependent var 0.000000
Adjusted R-squared 0.509665 S.D. dependent var 71.09022
S.E. of regression 49.78015 Akaike info criterion 10.66134
Sum squared resid 594735.2 Schwarz criterion 10.69017
Log likelihood -1288.022 F-statistic 251.5010
Durbin-Watson stat 2.000425 Prob(F-statistic) 0.000000

ADF Test Statistic -13.52498 1% Critical Value* -3.4589


5% Critical Value -2.8736
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(CASE,2)
Method: Least Squares
Date: 07/20/10 Time: 21:03
Sample(adjusted): 1/04/2006 12/07/2006
Included observations: 242 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(CASE(-1)) -0.865019 0.063957 -13.52498 0.0000
C 1.257652 8.363433 0.150375 0.8806
R-squared 0.432524 Mean dependent var -0.004132
Adjusted R-squared 0.430159 S.D. dependent var 172.3410
S.E. of regression 130.0964 Akaike info criterion 12.58266
Sum squared resid 4062017. Schwarz criterion 12.61149
Log likelihood -1520.502 F-statistic 182.9252
Durbin-Watson stat 1.984312 Prob(F-statistic) 0.000000

PHILLIP-PERON

PP Test Statistic -4.589251 1% Critical Value* -3.4572


5% Critical Value -2.8728
10% Critical Value -2.5727
*MacKinnon critical values for rejection of hypothesis of a unit root.

Lag truncation for Bartlett kernel: ( Newey-West suggests: 4 )


0
Residual variance with no correction 6463905.
Residual variance with correction 6463905.

Phillips-Perron Test Equation


Dependent Variable: D(AFRICA)
Method: Least Squares
Date: 07/20/10 Time: 21:06
Sample(adjusted): 1/03/2006 12/29/2006
Included observations: 259 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
AFRICA(-1) -0.153064 0.033353 -4.589251 0.0000
C 5980.693 1303.772 4.587224 0.0000
R-squared 0.075743 Mean dependent var 41.78764
Adjusted R-squared 0.072147 S.D. dependent var 2649.666
S.E. of regression 2552.295 Akaike info criterion 18.53507
Sum squared resid 1.67E+09 Schwarz criterion 18.56253
Log likelihood -2398.291 F-statistic 21.06123
Durbin-Watson stat 2.752808 Prob(F-statistic) 0.000007

PP Test Statistic -15.91991 1% Critical Value* -3.4572


5% Critical Value -2.8728
10% Critical Value -2.5727
*MacKinnon critical values for rejection of hypothesis of a unit root.

Lag truncation for Bartlett kernel: ( Newey-West suggests: 4 )


0
Residual variance with no correction 42457174
Residual variance with correction 42457174

Phillips-Perron Test Equation


Dependent Variable: D(US)
Method: Least Squares
Date: 07/20/10 Time: 21:08
Sample(adjusted): 1/03/2006 12/29/2006
Included observations: 259 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
US(-1) -0.993017 0.062376 -15.91991 0.0000
C 11698.15 839.3826 13.93661 0.0000
R-squared 0.496516 Mean dependent var 6.386525
Adjusted R-squared 0.494557 S.D. dependent var 9200.741
S.E. of regression 6541.222 Akaike info criterion 20.41733
Sum squared resid 1.10E+10 Schwarz criterion 20.44479
Log likelihood -2642.044 F-statistic 253.4434
Durbin-Watson stat 2.000150 Prob(F-statistic) 0.000000

PP Test Statistic -4.942851 1% Critical Value* -3.4588


5% Critical Value -2.8735
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.
Lag truncation for Bartlett kernel: ( Newey-West suggests: 4 )
0
Residual variance with no correction 6730945.
Residual variance with correction 6730945.

Phillips-Perron Test Equation


Dependent Variable: D(NSE)
Method: Least Squares
Date: 07/20/10 Time: 21:09
Sample(adjusted): 1/03/2006 12/07/2006
Included observations: 243 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
NSE(-1) -0.185485 0.037526 -4.942851 0.0000
C 5207.906 1059.311 4.916317 0.0000
R-squared 0.092045 Mean dependent var 37.46333
Adjusted R-squared 0.088278 S.D. dependent var 2728.358
S.E. of regression 2605.149 Akaike info criterion 18.57656
Sum squared resid 1.64E+09 Schwarz criterion 18.60531
Log likelihood -2255.053 F-statistic 24.43178
Durbin-Watson stat 2.710117 Prob(F-statistic) 0.000001

PP Test Statistic -0.781766 1% Critical Value* -3.4588


5% Critical Value -2.8735
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.
Lag truncation for Bartlett kernel: ( Newey-West suggests: 4 )
0
Residual variance with no correction 2442.734
Residual variance with correction 2442.734

Phillips-Perron Test Equation


Dependent Variable: D(JSE)
Method: Least Squares
Date: 07/20/10 Time: 21:10
Sample(adjusted): 1/03/2006 12/07/2006
Included observations: 243 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
JSE(-1) -0.007464 0.009548 -0.781766 0.4351
C 37.12104 40.76449 0.910622 0.3634
R-squared 0.002530 Mean dependent var 5.350082
Adjusted R-squared -0.001609 S.D. dependent var 49.58879
S.E. of regression 49.62868 Akaike info criterion 10.65521
Sum squared resid 593584.4 Schwarz criterion 10.68396
Log likelihood -1292.608 F-statistic 0.611158
Durbin-Watson stat 2.036632 Prob(F-statistic) 0.435119

PP Test Statistic -13.52498 1% Critical Value* -3.4589


5% Critical Value -2.8736
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.
Lag truncation for Bartlett kernel: ( Newey-West suggests: 4 )
0
Residual variance with no correction 16785.20
Residual variance with correction 16785.20

Phillips-Perron Test Equation


Dependent Variable: D(CASE,2)
Method: Least Squares
Date: 07/20/10 Time: 21:11
Sample(adjusted): 1/04/2006 12/07/2006
Included observations: 242 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(CASE(-1)) -0.865019 0.063957 -13.52498 0.0000
C 1.257652 8.363433 0.150375 0.8806
R-squared 0.432524 Mean dependent var -0.004132
Adjusted R-squared 0.430159 S.D. dependent var 172.3410
S.E. of regression 130.0964 Akaike info criterion 12.58266
Sum squared resid 4062017. Schwarz criterion 12.61149
Log likelihood -1520.502 F-statistic 182.9252
Durbin-Watson stat 1.984312 Prob(F-statistic) 0.000000

PP Test Statistic -15.85878 1% Critical Value* -3.4589


5% Critical Value -2.8736
10% Critical Value -2.5731
*MacKinnon critical values for rejection of hypothesis of a unit root.

Lag truncation for Bartlett kernel: ( Newey-West suggests: 4 )


0
Residual variance with no correction 2457.583
Residual variance with correction 2457.583

Phillips-Perron Test Equation


Dependent Variable: D(JSE,2)
Method: Least Squares
Date: 07/20/10 Time: 21:16
Sample(adjusted): 1/04/2006 12/07/2006
Included observations: 242 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(JSE(-1)) -1.023400 0.064532 -15.85878 0.0000
C 5.497898 3.218713 1.708104 0.0889
R-squared 0.511700 Mean dependent var 0.000000
Adjusted R-squared 0.509665 S.D. dependent var 71.09022
S.E. of regression 49.78015 Akaike info criterion 10.66134
Sum squared resid 594735.2 Schwarz criterion 10.69017
Log likelihood -1288.022 F-statistic 251.5010
Durbin-Watson stat 2.000425 Prob(F-statistic) 0.000000

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