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

Variable DF test statistic(a) Order of ADF test(b) ADF test statistic(c) Inline Equation from ADF test
Δ4ln Pt − Δ4ln Pt−1 −6.108* 4 −4.437* 0.525
Inline Equation −1.793 1 −2.703 0.932
Ut −1.238 4 −1.439 0.988
Δ4ln ULCt − Δ4ln Pt−1 −3.797* 4 −3.480* 0.761
Δ4ln PMt − Δ4ln PMt−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:
Δyt, = α + (ρ−1)yt−1 + εt.
(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):
Inline Equation.