Table 3: Results of unit root tests.

VariableIMEXENERGYCOALOILGASEX_IEX_HIEX_NHI

Level

ADF
𝑇 𝑢 −2.23−1.65−1.58−2.28−2.62−5.43***−1.63−1.23−2.34
𝑇 𝑡 −2.79−3.84**−3.76**−4.58***−4.14***−5.55***−3.80**−3.56**−2.97
𝑇 0.120.631.320.461.000.030.650.90−0.55
PP
𝑇 𝑢 −4.92***−1.99−2.94**−3.89***−2.94**−6.02***−1.94−1.39−8.22***
𝑇 𝑡 −6.18***−5.85***−5.23***−7.51***−5.71***−6.10***−5.79***−5.29***−8.64***
𝑇 0.281.230.640.581.36−0.061.301.62−0.24

First difference

ADF
𝑇 𝑢 −14.54***−18.64***−3.20**−13.07***−3.84***−17.86***−18.67***−18.21***−3.32**
𝑇 𝑡 −14.49***−18.58***−3.21−13.03***−3.86**−17.89***−18.60***−18.15***−3.41
𝑇 −14.58***−18.59***−2.82***−13.07***−17.47***−17.92***−18.61***−18.10***−3.31***
PP
𝑇 𝑢 −29.08***−26.19***−17.03***−28.54***−23.22***−18.02***−25.57***−22.45***−60.55***
𝑇 𝑡 −29.57***−26.33***−16.90***−28.70***−23.51***−18.09***−25.69***−22.38***−84.14***
𝑇 −28.76***−22.43***−17.01*−27.23***−22.20***−18.08***−22.19***−19.39***−61.41***

Note: (1) *** and ** represent significance at the 1% and 5% levels, respectively.
(2) The numbers shown in this table represent 𝑡 -value. 𝑇 𝑢 , 𝑇 𝑡 , and 𝑇 , respectively, denote the test equation computed with intercept, with linear trend and intercept and without intercept and linear trend. ADF and PP stand for augmented Dickey-Fuller and Phillips and Perron unit root tests, where the same critical values at 5% are −2.86, −3.14, −1.94 and at 1% are −3.43, −3.96, −2.57, respectively.