Variables Augmented Dicky-Fuller (ADF) Augmented Dicky-Fuller (ADF) Process

Tests (Constant) Tests ( Trend and Constant)

Statistics P- Unit Statistics P-values Unit
values Root Root
LIPBD 1.005891 0.9966 YES -7.552079 0.0000 NO I(0)
LMCBD -0.067960 0.9498 YES -0.989574 0.9415 YES I(1)
LIPBD -12.12776 0.0000 NO -12.50108 0.0000 NO I(0)
LMCBD -9.259565 0.0000 NO -9.337983 0.0000 NO I(0)

Note: The variables LIP stand for the Log of Industrial Production; LMC stand for the Log of Market
Capitalization; and Δ denotes the first difference of the variable. The null hypothesis states that the variable has
a unit root. *, ** and *** denotes rejection of the null at 10%, 5% and 1% level of significance.
The critical values and details of the tests are presented in Dicky and Fuller (1979, 1981) and Phillips and Perron
(1988). The AIC determines the lag length (P) in the ADF tests (see Stock and Watson 2007:561 for details),
MacKinnon (1996) one-sided p-values in the ADF Tests.
Data Range: Bangladesh: 1994-2008.
Source: World Development Indicators ( WDI-World Bank 2010)

Table:
Variables Phillips-Perron(PP) Tests Phillips-Perron(PP) Tests Process
Constant (Constant and Trend)
Statistics P- Unit Statistics P-values Unit
values Root Root
LIPBD -1.002255 0.7519 YES -7.570513 0.0000 NO I(0)
LMCBD 0.210207 0.9725 YES -0.858185 0.9570 YES I(1)
LIPBD -25.39566 0.0000 NO -26.06285 0.0000 NO I(0)
LMCBD -9.278593 0.0000 NO -9.363244 0.0000 NO I(0)

Note: The variables LIP stand for the Log of Industrial Production; LMC stand for the Log of Market
Capitalization; and Δ denotes the first difference of the variable. The null hypothesis states that the variable has
a unit root. *, ** and *** denotes rejection of the null at 10%, 5% and 1% level of significance.
The critical values and details of the tests are presented in Dicky and Fuller (1979, 1981) and Phillips and Perron
(1988). The AIC determines the lag length (P) in the ADF tests (see Stock and Watson 2007:561 for details),
MacKinnon (1996) one-sided p-values in the ADF Tests.
Data Range: Bangladesh: 1994-2008.
Source: World Development Indicators ( WDI-World Bank 2010)