Appendix C: Time-series Properties of the Variables | RDP 1999-01: The Phillips Curve in Australia

RDP 1999-01: The Phillips Curve in Australia Appendix C: Time-series Properties of the Variables

David Gruen, Adrian Pagan and Christopher Thompson

January 1999

Variable	DF test statistic^(a)	Order of ADF test^(b)	ADF test statistic^(c)	from ADF test
Δ₄ln P_t − Δ₄ln P_t−1	−6.108^*	4	−4.437^*	0.525
	−1.793	1	−2.703	0.932
U_t	−1.238	4	−1.439	0.988
Δ₄ln ULC_t − Δ₄ln P_t−1	−3.797^*	4	−3.480^*	0.761
Δ₄ln PM_t − Δ₄ln PM_t−1	−11.002^*	3	−8.929^*	−0.379
Notes: * Denotes significance at the 5 per cent level using critical values from Fuller (1976). The tests were conducted over the sample period 1965:Q1–1997Q4. (a) This is the t-ratio on (ρ−1) in the Dickey-Fuller (DF) regression: Δy_t, = α + (ρ−1)y_t−1 + ε_t. (b) The order of the augmented Dickey-Fuller (ADF) test was determined by maximising the Schwarz Bayesian Criterion. (c) This is the t-ratio on (ρ−1) in the ADF regression (j is the order of the ADF test): .