Table 1

Stationarity tests

VariableADF statisticPP statistic
ICLN_logdiff−10.515***−1579.9***
BGRN_logdiff−10.567***−1591.4***
Energy_logdiff−10.442***−1742.2***
EPU_logdiff−17.374***−1813.1***
EFFR_logdiff−8.7344***−1791.8***
EFFR_Volume_logdiff−10.38***−1706.4***

Note(s): *** indicate a p-value lower than 1%

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