Table 2 Unit root tests
From: Can ETFs affect U.S. financial stability? A quantile cointegration analysis
\({\text{Variable}}\) | DF-GLS tau test statistic | 5% critical value |
|---|---|---|
\(S\&P 500\) | − 1.42 | − 2.72 |
\(VIX\) | − 2.52 | − 2.79 |
\(d\) | − 1.94 | − 2.90 |
\(FED\) | − 1.73 | − 2.07 |
\(Leverage\) | − 1.73 | − 2.85 |
\(ETF FOF\) | − 2.47 | − 2.77 |