Industrial Production |
Geopolitical Risk |
One Year Interest |
Ten Year Interest |
Real Effective Exchange Rate |
Kilian Index |
|||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Model 1 |
Model 2 |
Model 3 |
Model 1 |
Model 2 |
Model 3 |
Model 1 |
Model 2 |
Model 3 |
Model 1 |
Model 2 |
Model 3 |
Model 1 |
Model 2 |
Model 3 |
Model 1 |
Model 2 |
Model 3 |
|||||||||||||||||||
| Lags | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value | ADF Stat | p-Value |
| 1 | 1.5692075 | 0.9708965 | -2.756618 | 0.0698970 | -2.589096 | 0.3277491 | -2.9267325 | 0.0100000 | -7.012874 | 0.0100000 | -7.017923 | 0.0100000 | -4.063798 | 0.0100000 | -4.225042 | 0.0100000 | -5.403675 | 0.0100000 | -1.220384 | 0.2427199 | -1.790740 | 0.4103795 | -2.178912 | 0.5004600 | 0.7601672 | 0.8626380 | -0.8851568 | 0.7390293 | -0.9782413 | 0.9412514 | -2.959056 | 0.0100000 | -2.961212 | 0.0418065 | -3.025510 | 0.1439958 |
| 2 | 1.2217236 | 0.9425287 | -2.715766 | 0.0767056 | -2.893287 | 0.1996685 | -3.0137289 | 0.0100000 | -7.561809 | 0.0100000 | -7.576412 | 0.0100000 | -3.249477 | 0.0100000 | -3.392213 | 0.0126026 | -4.334890 | 0.0100000 | -1.150034 | 0.2678450 | -1.718331 | 0.4389995 | -2.161645 | 0.5077611 | 0.4538862 | 0.7744996 | -1.7083576 | 0.4429417 | -1.7712987 | 0.6728124 | -3.701366 | 0.0100000 | -3.709349 | 0.0100000 | -3.769064 | 0.0205579 |
| 3 | 1.4396735 | 0.9615371 | -2.698014 | 0.0796643 | -2.635866 | 0.3080565 | -2.2850535 | 0.0228610 | -6.087070 | 0.0100000 | -6.096322 | 0.0100000 | -2.939279 | 0.0100000 | -3.083928 | 0.0300069 | -4.015568 | 0.0100000 | -1.224130 | 0.2413821 | -1.674793 | 0.4562083 | -1.636344 | 0.7298756 | 0.5597906 | 0.8049757 | -1.3505226 | 0.5751681 | -1.4199954 | 0.8213550 | -3.417732 | 0.0100000 | -3.425662 | 0.0109841 | -3.488105 | 0.0435014 |
| 4 | 1.4121624 | 0.9595493 | -2.697689 | 0.0797185 | -2.653080 | 0.3008085 | -2.0908037 | 0.0376920 | -5.768741 | 0.0100000 | -5.781243 | 0.0100000 | -2.959818 | 0.0100000 | -3.091738 | 0.0292560 | -3.991081 | 0.0100000 | -1.566038 | 0.1192720 | -2.016107 | 0.3213017 | -1.791048 | 0.6644619 | 0.6073125 | 0.8186511 | -1.2703821 | 0.6033866 | -1.3360650 | 0.8568435 | -3.535245 | 0.0100000 | -3.541479 | 0.0100000 | -3.598533 | 0.0329644 |
| 5 | 1.3122064 | 0.9523271 | -2.666900 | 0.0848500 | -2.706050 | 0.2785052 | -1.7773394 | 0.0761607 | -5.066982 | 0.0100000 | -5.081045 | 0.0100000 | -2.870779 | 0.0100000 | -2.992992 | 0.0387508 | -3.850769 | 0.0163893 | -1.587463 | 0.1116204 | -2.040466 | 0.3116735 | -1.821177 | 0.6517223 | 0.5684735 | 0.8074744 | -1.4788041 | 0.5299985 | -1.5271332 | 0.7760536 | -2.895085 | 0.0100000 | -2.898064 | 0.0478785 | -2.949255 | 0.1761031 |
| 6 | 1.2291606 | 0.9434821 | -2.625181 | 0.0918031 | -2.736943 | 0.2654977 | -1.6205397 | 0.0999182 | -4.695755 | 0.0100000 | -4.715379 | 0.0100000 | -2.901335 | 0.0100000 | -3.029763 | 0.0352151 | -3.986360 | 0.0100000 | -1.562785 | 0.1204338 | -1.962493 | 0.3424931 | -1.518200 | 0.7798309 | 0.5248851 | 0.7949310 | -1.5891801 | 0.4900474 | -1.6289520 | 0.7330013 | -2.879557 | 0.0100000 | -2.885502 | 0.0490863 | -2.948174 | 0.1765583 |
| 7 | 1.0788575 | 0.9242125 | -2.652264 | 0.0872894 | -2.916779 | 0.1897772 | -1.4556692 | 0.1586896 | -4.423264 | 0.0100000 | -4.439524 | 0.0100000 | -2.385038 | 0.0185013 | -2.478457 | 0.1385544 | -3.236888 | 0.0815710 | -1.646958 | 0.0959155 | -2.056690 | 0.3052610 | -1.580444 | 0.7535119 | 0.6140008 | 0.8205758 | -1.5548835 | 0.5032100 | -1.5844308 | 0.7518263 | -2.693018 | 0.0100000 | -2.697376 | 0.0797707 | -2.757127 | 0.2569992 |
| 8 | 1.0758639 | 0.9238287 | -2.613367 | 0.0937721 | -2.877549 | 0.2062951 | -1.3961999 | 0.1799286 | -4.341382 | 0.0100000 | -4.359299 | 0.0100000 | -2.285203 | 0.0228545 | -2.360650 | 0.1851188 | -3.019820 | 0.1463914 | -1.555570 | 0.1230107 | -1.968754 | 0.3400181 | -1.570326 | 0.7577903 | 0.6701990 | 0.8367479 | -1.3855661 | 0.5628288 | -1.4162349 | 0.8229451 | -2.516980 | 0.0127479 | -2.520167 | 0.1220683 | -2.578234 | 0.3323225 |
| 9 | 1.1408683 | 0.9321626 | -2.648318 | 0.0879470 | -2.847544 | 0.2189290 | -1.2637216 | 0.2272423 | -4.059588 | 0.0100000 | -4.077460 | 0.0100000 | -2.131234 | 0.0341579 | -2.192580 | 0.2515494 | -2.779828 | 0.2474407 | -1.618286 | 0.1006121 | -2.024228 | 0.3180917 | -1.552257 | 0.7654306 | 0.7261179 | 0.8528397 | -1.4294217 | 0.5473867 | -1.4500892 | 0.8086304 | -2.122956 | 0.0348815 | -2.125098 | 0.2782222 | -2.177522 | 0.5010478 |
| 10 | 1.0321834 | 0.9182286 | -2.597016 | 0.0964974 | -2.910477 | 0.1924307 | -1.1382031 | 0.2720703 | -3.780905 | 0.0100000 | -3.799132 | 0.0190239 | -2.169162 | 0.0308425 | -2.228923 | 0.2371846 | -2.804441 | 0.2370775 | -1.797658 | 0.0730822 | -2.220490 | 0.2405178 | -1.684862 | 0.7093606 | 0.7558637 | 0.8613996 | -1.4145692 | 0.5526165 | -1.4313470 | 0.8165552 | -2.471840 | 0.0147163 | -2.470440 | 0.1417235 | -2.514990 | 0.3589517 |
| 11 | 0.8463930 | 0.8874512 | -2.592777 | 0.0972039 | -3.131431 | 0.0997534 | -0.9324581 | 0.3455507 | -3.294208 | 0.0173448 | -3.311508 | 0.0687055 | -1.995121 | 0.0460558 | -2.031397 | 0.3152582 | -2.552609 | 0.3431119 | -1.931288 | 0.0528352 | -2.372297 | 0.1805149 | -1.821824 | 0.6514486 | 0.6641508 | 0.8350074 | -1.5986073 | 0.4863212 | -1.6117950 | 0.7402558 | -2.417705 | 0.0170768 | -2.415968 | 0.1632536 | -2.458842 | 0.3825928 |
| 12 | 0.9754615 | 0.9109566 | -2.512005 | 0.1252946 | -2.889826 | 0.2011260 | -0.9115082 | 0.3530328 | -3.245218 | 0.0197153 | -3.264455 | 0.0768182 | -1.702452 | 0.0875073 | -1.694441 | 0.4484421 | -2.149309 | 0.5129773 | -1.993775 | 0.0461735 | -2.478018 | 0.1387280 | -2.005759 | 0.5736750 | 0.5674297 | 0.8071740 | -1.5658468 | 0.4992700 | -1.5833692 | 0.7522752 | -2.685051 | 0.0100000 | -2.680214 | 0.0826310 | -2.717258 | 0.2737861 |
| Model 1: No drift or trend Model 2: With drift, no trend Model 3: With drift and trend |
||||||||||||||||||||||||||||||||||||