Variable | Level Form |
---|
LLC (t-Stat) | IPS (W-Stat) |
---|
y | −15.73**
| −16.61**
|
Yc (HP) | −5.71**
| −11.37**
|
Yc (BK) | −14.82**
| −17.94**
|
Yc (QT) | −2.98**
| −6.76**
|
u | −13.65**
| −14.43**
|
Uc (HP) | −7.15**
| −8.48**
|
Uc (BK) | −15.16**
| −14.39**
|
Uc (QT) | −4.48**
| −7.55**
|
-
u, y, \(U^{C}\)and \(Y^{C}\) represent the absolute difference of unemployment rate, the absolute difference of the GDP growth rate, the cyclical unemployment rate and the logarithm of the cyclical output respectively. HP, BK and QT refer to Hodrick-Prescott, the Baxter and King and the quadratic trend filters. LLC and IPS represent Livin, Lin & Chu and Im, Pesaran & Shin unit root tests respectively. The optimal lag length is selected by the Schwarz Criterion
-
* and ** indicate 95 and 99 % confidence levels respectively