Note to Table 1: In the table superscript a, b, c denote significance at 1%, 5% and 10% critical level, ⁎ denotes insignificance by Schwarz
Information Criterion (SIC) but significant by modified Akaike Information Criterion (AIC) at 1% critical level while ⁎⁎ denotes
insignificance by SIC, but significance by modified AIC at 5% critical level. Lag lengths are in parentheses, along with lag selection
criteria as AIC and SIC. ADF, PP, and DF-GLS (intercept only) critical values are sourced from MacKinnon (1991). KPSS critical values are
from Kwiatkowski et al. (1992) and MZα critical values are from Ng and Perron (2001). DF-GLS test with intercept and trend critical
values are for 50 observations and may not be appropriate for our sample size of 44.