|
| ADF | 5% critical value | p |
CS* | (C, 0, 1) | −4.081736 | −2.869677 | 0.0012 |
INDPRO | (C, T, 3) | −2.140683 | −2.871029 | 0.2290 |
GS10 | (C, T, 4) | −2.014745 | −2.869677 | 0.2805 |
VIX* | (C, 0, 0) | −4.247841 | −2.869653 | 0.0006 |
SLOPE | (C, 0, 1) | −2.459724 | −2.871029 | 0.1265 |
DCS* | (C, 0, 0) | −23.81119 | −2.869677 | 0.0000 |
DINDPRO* | (C, 0, 0) | −4.486157 | −2.871029 | 0.0003 |
DGS10* | (C, 0, 0) | −14.26482 | −2.869677 | 0.0000 |
DVIX* | (C, 0, 0) | −15.07556 | −2.869701 | 0.0000 |
DSLOPE* | (C, 0, 0) | −4.433300 | −2.871029 | 0.0003 |