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