Predictability analysis of the Pound’s Brexit exchange rates based on Google Trends data

Journal of Big Data

Table 2 Unit root test statistics for the examined time series

	\(\varvec{y}_{1}\)	\(\varvec{y}_{2}\)	\(\varvec{x}_{1}\)	\(\varvec{x}_{2}\)	\(\varvec{x}_{3}\)	\(\varvec{x}_{4}\)	\(\varvec{x}_{5}\)	\(\varvec{x}_{6}\)	\(\varvec{x}_{7}\)
ADF test
Test statistic	− 1.10**	− 12.10**	− 6.90**	− 6.87**	− 7.34**	− 8.24**	− 7.29**	− 7.06**	− 8.29**
Critical value	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872
P-value	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]
ADF test (including trend)
Test statistic	− 11.79**	− 12.09**	− 6.94**	− 6.91**	− 7.33**	− 8.30**	− 7.36**	− 7.05**	− 8.45**
Critical value	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427
P-value	[0.000]	[0.000]	[0.001]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]
PP test
Test statistic	− 12.48**	− 13.08**	− 6.85**	− 6.87**	− 7.33**	− 8.24**	− 7.29**	− 7.15**	− 8.22**
Critical value	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872	− 2.872
P-value	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]
PP test (including trend)
Test statistic	− 12.72**	− 13.07**	− 6.90**	− 6.91**	-7.32**	− 8.30**	− 7.36**	− 7.14**	− 8.38**
Critical value	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427	− 3.427
P-value	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]