Skip to main content
Future Business Journal

Table 3 PP and DF-GLS unit root tests

From: Market integration and asymmetric price transmission in selected domestic markets for major staple foods in Uganda

Commodity

Variables

Phillips–Perron test

Elliott–Rothenberg–Stock DF-GLS test

Constant

T-Stat. (Prob.)

C&T

T-Stat. (Prob.)

Constant

T-Stat. (Prob.)

C&T

T-Stat. (Prob.)

Matoke

WP_Kampala

− 3.372** (0.014)

− 3.569** (0.038)

− 0.935 (0.352)

− 1.636 (0.105)

RP_Kampala

− 3.352** (0.015)

− 3.460* (0.050)

− 1.053 (0.295)

− 1.747* (0.084)

WP_Mbarara

− 3.503** (0.010)

− 3.569** (0.038)

− 1.065 (0.290)

− 1.615 (0.110)

RP_Mbarara

− 3.227** (0.021)

− 3.244* (0.082)

− 1.515 (0.133)

− 1.888* (0.062)

ΔWP_Kampala

− 14.959*** (0.000)

− 15.041*** (0.000)

− 2.717*** (0.008)

− 7.003*** (0.000)

ΔRP_Kampala

− 11.121*** (0.000)

− 11.214*** (0.000)

− 2.592** (0.011)

− 6.814*** (0.000)

ΔWP_Mbarara

 

− 11.179*** (0.000)

− 8.098*** (0.000)

− 7.999*** (0.000)

ΔRP_Mbarara

− 15.165*** (0.000)

− 15.775*** (0.000)

− 7.557*** (0.000)

− 7.589*** (0.000)

Beans

WP_Kampala

− 3.421** (0.012)

− 3.733** (0.025)

− 1.590 (0.115)

− 2.926*** (0.004)

RP_Kampala

− 3.549*** (0.009)

− 4.164*** (0.007)

− 0.758 (0.450)

− 3.041*** (0.003)

WP_Masindi

− 3.387** (0.014)

− 3.428* (0.054)

− 1.189 (0.237)

− 2.274** (0.025)

ΔWP_Kampala

− 11.959*** (0.000)

− 11.844*** (0.000)

− 9.269*** (0.000)

–

ΔRP_Kampala

–

–

− 8.643*** (0.000)

–

ΔWP_Masindi

− 12.028*** (0.000)

− 11.751*** (0.000)

− 2.460** (0.016)

− 4.865*** (0.000)

Maize

WP_Tororo

− 2.616* (0.093)

− 2.678 (0.248)

− 1.697* (0.093)

− 2.714*** (0.008)

RP_Kampala

− 3.385** (0.014)

− 3.502** (0.045)

− 0.029 (0.977)

− 2.556** (0.012)

WP_Masindi

− 3.026** (0.036)

− 3.044 (0.126)

− 1.778* (0.078)

− 2.711*** (0.008)

RP_Masindi

− 4.355*** (0.001)

− 4.724*** (0.001)

− 0.151 (0.880)

− 2.164** (0.033)

ΔWP_Tororo

− 8.001*** (0.000)

− 7.957*** (0.000)

− 3.768*** (0.000)

–

ΔRP_Kampala

− 9.963*** (0.000)

− 9.905*** (0.000)

− 4.790*** (0.000)

− 4.324*** (0.000)

ΔWP_Masindi

− 9.919*** (0.000)

− 9.838*** (0.000)

− 7.164*** (0.000)

–

ΔRP_Masindi

–

–

− 7.532*** (0.000)

− 7.387*** (0.000)

  1. Δ denotes the first difference operator, ***, **, and * denote rejection of the null hypothesis of unit root at the 1%, 5%, and 10% levels, respectively. The optimal lag structure of the ADF and DF-GLS tests was selected based on the AIC, while the optimal bandwidth of the PP test was selected based on the Newey–West Bartlett kernel method. C&T denotes constant and trend
Back to article page