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

Latin American Economic Review

Table 7 Unit-root tests: investment equations.

	Augmented Dickey–Fuller		Phillips–Perron
	Level	First difference	Level	First difference
Annual inflation rate	− 5.83***	− 5.13***	− 6.62***	− 5.05***
Broad money supply, M3/GDP	− 0.07	− 5.02***	0.90	− 14.62***
Government investment, series A	− 1.86	− 5.17***	− 4.47***	− 20.85***
Government investment, series B	− 1.29	− 6.20***	− 6.95***	− 30.30***
Gross domestic product, GDP, series A	− 0.48	− 5.04***	− 0.37	− 24.86***
GDP, series B	− 0.40	− 5.45***	− 0.45	− 30.55***
Industrial production index	− 1.96	− 6.71***	− 1.83	− 5.38***
Manufacturing exports	− 2.01	− 4.31***	− 2.55	− 15.11***
Nominal interest rate	− 5.46***	− 10.75***	− 5.79***	− 11.38***
Private investment, PI, series A	− 1.55	− 5.23***	− 1.78	− 13.07***
Private investment, PI, series B	− 1.54	− 4.38***	− 1.93	− 13.22***
Real exchange rate, RER	− 3.45**	− 4.54***	− 3.17**	− 9.86***
Depreciation component, RERD	− 0.29	− 4.69***	− 0.18	− 9.89***
Appreciation component, RERA	− 2.96**	− 4.59***	− 3.05**	− 8.65***

1988Q1‒2016Q3, 115 quarterly observations
ADF test: lag length determined by Akaike criterion, maximum 4. Test includes an intercept
PP test: Bartlett kernel. Newey–West bandwidth. Test includes an intercept
The unit-root hypothesis is rejected at ***1%, **5%, *10%