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*** |