Asymmetric real-exchange-rate effects on capital accumulation: evidence from non-linear ARDL models for Mexico

Latin American Economic Review

Table 6 Unit-root tests: capital accumulation equations.

	Augmented Dickey–Fuller		Phillips–Perron
	Level	First difference	Level	First difference
(A) Manufacturing
Accumulation rate	− 2.58	− 5.46***	− 2.63^a	− 5.49***
Production growth rate	− 4.83***	− 8.19***	− 4.83***	− 15.07***
(B) Tradables
Accumulation rate	− 2.73*	− 5.42***	− 2.80*	− 5.44***
Production growth rate	− 4.90***	− 8.25***	− 4.90***	− 14.48***
(C) Non-tradables
Accumulation rate	− 4.50***	− 4.37***	− 3.76***	− 10.01***
Production growth rate	− 5.79***	− 8.47***	− 8.92***	− 24.73***
(D) Real exchange rate
Real exchange rate, RER	− 2.88*	− 4.68***	− 2.67*	− 5.69***
Depreciation component, RERD	− 1.15	− 4.83***	− 1.13	− 4.90***
Appreciation component, RERA	− 2.92*	− 3.86***	− 5.80***	− 3.95***

Period 1992–2015, 24 annual observations
ADF test: lag length determined by Akaike criterion, maximum 2. Test includes an intercept
PP test: Bartlett kernel. Newey–West bandwidth. Test includes an intercept
Or longest available after inclusion of lags and first differences
^aCritical value at 10% is − 2.64
The unit-root hypothesis is rejected at ***1%, **5%, *10%