Table 5 Tests of ADF and KPSS
Variable | Definition | ADF statistics | KPSS statistics |
|---|---|---|---|
Gt1 | Google search index: coronavirus | −2.3385 | 1.2101a |
D (Gt1) | Difference of Google search index: coronavirus | −3.5195c | 0.0991 |
Ot1 | Google search index: oil | −3.3784 | 0.7009b |
D (Ot1) | Difference of Google search index: oil | −5.6083b | 0.0439 |
Pt1 | Day-on-day average price change for Group 1 | −2.9110 | 0.1335 |
D (Pt1) | Difference of day-on-day average price change for Group 1 | −4.8725b | 0.0752 |
Pt2 | Day-on-day average price change for Group 2 | −3.0845 | 0.1479 |
D (Pt2) | Difference of day-on-day average price change for Group 2 | −5.8872b | 0.0687 |
Pt3 | Day-on-day average price change for Group 3 | −3.1117 | 0.1205 |
D (Pt3) | Difference of day-on-day average price change for Group 3 | −5.0339c | 0.0864 |