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Table 2 ADF and PP Unit Toot Tests

From: Forecasting cryptocurrency returns and volume using search engines

Variable

Test statistics

ADF

PP

SGSV

None

− 17.693***

−18.354***

Intercept

−17.715***

−18.441***

Intercept and trend

−18.096***

−19.440***

LOG-RETURN

None

−13.028***

−13.240***

Intercept

−13.275***

− 13.440***

Intercept and trend

−14.630***

−14.629***

VLM

None

−8.562***

−8.654***

Intercept

−8.774***

−8.859***

Intercept and trend

−8.801***

−8.881***

  1. *, **, *** significant at 10%, 5% and 1% levels, respectively