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Table 2 Unit root test statistics for the examined time series

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

  \(\varvec{y}_{1}\) \(\varvec{y}_{2}\) \(\varvec{x}_{1}\) \(\varvec{x}_{2}\) \(\varvec{x}_{3}\) \(\varvec{x}_{4}\) \(\varvec{x}_{5}\) \(\varvec{x}_{6}\) \(\varvec{x}_{7}\)
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]