Results of the SADF and GSADF test statistics applied to the TUNINDEX Stock Index from January 2004 to December 2023
| Procedure | t-calculated | t-statistics | p-value | ||
|---|---|---|---|---|---|
| 1% | 5% | 10% | |||
| SADF | |||||
| Monte Carlo | 7.189721 | 2.063540 | 1.603520 | 1.394152 | 0.0000 |
| Sieve-bootstrap | 7.189721 | 2.361277 | 1.694200 | 1.405327 | 0.0000 |
| Wild-bootstrap | 7.085482 | 6.434227 | 4.736883 | 3.936739 | 0.0000 |
| GSADF | |||||
| Monte Carlo | 9.814678 | 8.402781 | 7.179462 | 7.037146 | 0.0000 |
| Sieve-bootstrap | 7.943072 | 6.872400 | 6.138024 | 5.916405 | 0.0000 |
| Wild-bootstrap | 8.746001 | 7.803691 | 6.880064 | 6.570910 | 0.0000 |
| Procedure | t-calculated | t-statistics | |||
|---|---|---|---|---|---|
| 1% | 5% | 10% | |||
| Monte Carlo | 7.189721 | 2.063540 | 1.603520 | 1.394152 | 0.0000 |
| Sieve-bootstrap | 7.189721 | 2.361277 | 1.694200 | 1.405327 | 0.0000 |
| Wild-bootstrap | 7.085482 | 6.434227 | 4.736883 | 3.936739 | 0.0000 |
| Monte Carlo | 9.814678 | 8.402781 | 7.179462 | 7.037146 | 0.0000 |
| Sieve-bootstrap | 7.943072 | 6.872400 | 6.138024 | 5.916405 | 0.0000 |
| Wild-bootstrap | 8.746001 | 7.803691 | 6.880064 | 6.570910 | 0.0000 |
Source(s):
Authors’ own creation