Financial Innovation

Table 3 ADF test results for S&P BSE Sensex and S&P BSE IT logarithmic returns

From: S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA

		Sensex Returns		IT Returns
	Test eq. (TE)	t-Statistic / LM stat	Prob.	t-Statistic / LM stat	Prob.
ADF test	TE1 & TE2 t-stat	−48.57^a	0.0001	−39.14^a	0.0000
	TE1_intercept	1.09	0.2	0.9	0.3
	TE2_ Intercept	0.169	0.8	−0.2	0.8
	TE2 _Trend	0.4366	0.6	0.7	0.4
	TE3	−48.56^a	0.0001	−39.13^a	0.000
PP test	TE1 & TE2 t-stat	−48.57	0.0001	−51.06	0.0001
	TE1_intercept	1.09	0.2	0.82	0.41
	TE2_ Intercept	0.169	0.8	−0.23	0.83
	TE2 _Trend	0.43	0.6	0.74	0.45
	TE3	−48.56^a	0.0001	−51.05^a	0.0001
KPSS LM Stat	TE1_LM stat	0.052		0.153
	TE1_intercept	1.18	0.25	0.86	0.388
	TE2_LM stat	0.033		0.110
	TE2_ Intercept	0.19	0.83	−0.20	0.83
	TE2 _Trend	0.45	0.64	0.73	0.46

Source: Compiled by authors
Note: ^a indicates 1% significant level;

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