Table 6. ADF, ADF-GLS and KPSS Unit root...

Table 6.

ADF, ADF-GLS and KPSS Unit root tests for stationarity analysis of stock-exchange series

Series	Log IBOVESPA_1	Log CHISHA_1	Log DAX 30_1	Log IND_BOMB_1	Log FTSE 100_1	Log NYSE_1	Log AL Index_1
ADF with const	−5.56	−2.92	0.53	−2.15	−0–20	0.29	−1.70
p-value	0.00^*	0.04^*	0.99	0.23	0.94	0.98	0.43
ADF with const and trend	−1.85	−3.21	−2.00	−2.36	−3.17	−2.56	−1.67
p-value	0.68	0.08	0.60	0.40	0.09	0.30	0.76
ADF_GLSτ	0.53	−1.74	−1.44	−1.55	−2.46	−1.33	−1.84
Critical value	−2.89	−2.89	−2.89	−2.89	−2.89	−2.89	−2.89
KPSS	17.37	10.55	21.94	4.17	22.34	22.75	1.00
Critical value	0.462	0.462	0.462	0.462	0.462	0.462	0.462
Testing down from 25 lags and BIC criterion for ADF and ADF-GLS; Lag order 8 for KPSS
Series	Log IBOVESPA_2	Log CHISHA_2	Log DAX 30_2	Log IND_BOMB_2	Log FTSE 100_2	Log NYSE_2	Log AL Index_2
ADF with const	−0.85	−1.70	−0.83	−0.34	−2.15	−1.00	−2.06
p-value	0.80	0.43	0.81	0.92	0.23	0.76	0.26
ADF with const and trend	−2.07	−2.01	−2.95	−2.43	−3.22	−2.89	−1.82
p-value	0.56	0.59	0.15	0.36	0.0.08	0.16	0.70
ADF_GLS τ	−1.97	−1.92	−1.43	−1.69	−1.58	−2.28	−1.46
Critical value	−2.89	−2.89	−2.89	−2.89	−2.89	−2.89	−2.89
KPSS	38.56	21.21	37.61	45.27	23.74	37.15	19.14
Critical value	0.462	0.462	0.462	0.462	0.462	0.462	0.462
Testing down from 32 lags and BIC criterion for ADF and ADF-GLS; Lag order 10 for KPSS

Notes:

Table summarizes the formal unit-root tests: Augmented Dickey-Fuller (ADF), Augmented Dickey-Fuller Generalized Least Squares Regression (ADF-GLS) and Kwiatkowsky-Phillips-Schmidt-Shin (KPSS) test. For each test the corresponding statistic and p-value are proposed. Lag adjustments are because of different sample sizes.

Indicates stationarity at 5% level (α = 0.05)

Source: Personal elaboration on Datastream (2021)

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