Table 2 Descriptive statistics of the...

Table 2

Descriptive statistics of the series with unit root test

Series	Non-commercial	Futures	WTI
	Net positions (TA)	Two months (CL2)	Spot
Mean	94,274	53.21	52.93
Median	37,874	48.08	47.01
Minimum	−71,928	11.26	10.82
Maximum	5.57 × 10⁵	145.86	145.31
Stddev	1.28 × 10⁵	30.70	30.50
Skewness	1.18	0.49	0.51
Kurtosis	0.38	−0.93	−0.92
N	1,159	1,159	1,159
Jarque–Bera test	278.24 p < 0.05	88.04 p < 0.05	91.37 p < 0.05
ADF with const	−1.74	−1.66	−2.07
p -value	0.41	0.45	0.26
ADF with const and trend	−1.76	−1.63	−4.37
p -value	0.72	0.78	0.00*
ADF_GLS τ	−1.89	−1.77	−1.48
Critical value	−2.89	−2.89	−2.89
KPSS test	9.16	9.36	10.24
Critical value	0.46	0.46	0.46
PP test Z τ	−1.81	−1.78	−1.76
p-value	0.37	0.39	0.40

Series	Non-commercial	Futures	WTI
	Net positions (TA)	Two months (CL2)	Spot
Mean	94,274	53.21	52.93
Median	37,874	48.08	47.01
Minimum	−71,928	11.26	10.82
Maximum	5.57 × 10⁵	145.86	145.31
Stddev	1.28 × 10⁵	30.70	30.50
Skewness	1.18	0.49	0.51
Kurtosis	0.38	−0.93	−0.92
N	1,159	1,159	1,159
Jarque–Bera test	278.24 p < 0.05	88.04 p < 0.05	91.37 p < 0.05
ADF with const	−1.74	−1.66	−2.07
p -value	0.41	0.45	0.26
ADF with const and trend	−1.76	−1.63	−4.37
p -value	0.72	0.78	0.00*
ADF_GLS τ	−1.89	−1.77	−1.48
Critical value	−2.89	−2.89	−2.89
KPSS test	9.16	9.36	10.24
Critical value	0.46	0.46	0.46
PP test Z τ	−1.81	−1.78	−1.76
p-value	0.37	0.39	0.40

Note(s): * Indicates stationarity at 5% level (α = 0.05)

Testing down from 22 lags and BIC criterion for ADF and ADF-GLS

Source(s): Personal elaborations on Datastream (2021) and Quandl (2021)