Table 13 The diagnostic tests for the spurious regression issue
From: Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Model | Lags for ADF test | Test statistic | Interpolated Dickey–Fuller | MacKinnon approximate p-value for Z(t) | ||
|---|---|---|---|---|---|---|
1% Critical value | 5% Critical value | 10% Critical value | ||||
BF | 3 |  − 6.274 |  − 3.517 |  − 2.894 |  − 2.582 | 0.0000 |
BN | 1 |  − 8.640 |  − 3.514 |  − 2.892 |  − 2.581 | 0.0000 |
CB | 2 |  − 7.188 |  − 3.516 |  − 2.893 |  − 2.582 | 0.0000 |
OE | 1 |  − 8.646 |  − 3.514 |  − 2.892 |  − 2.581 | 0.0000 |