Table 7.
LM test results with the flexible Fourier form.
| frequency | Lag | F statistic | t statistic | DW | T | |
|---|---|---|---|---|---|---|
| BTC-D | 1 | 13 | 123.5927∗∗∗ | -0.65617 | 2.007 | 2826 |
| ETH-D | 1 | 10 | 61.1041∗∗∗ | -1.7428 | 2.014 | 976 |
| BTX-D | 1 | 15 | 15.34289∗∗∗ | -2.37522 | 1.973 | 251 |
| LTC-D | 1 | 5 | 201.7307∗∗∗ | -13.7081∗∗∗ | 2.01 | 1806 |
| RIP-D |
1 |
14 |
72.8367∗∗∗ |
-1.84738 |
2.01 |
1706 |
| BTC-W | 1 | 3 | 43.39032∗∗∗ | -4.15214∗∗ | 2.03 | 403 |
| ETH-W | 2 | 1 | 24.73095∗∗∗ | -5.00412∗∗∗ | 2.11 | 139 |
| BTX-W | 2 | no lag | 9.70371∗∗∗ | -5.26262∗∗∗ | 1.905 | 35 |
| LTC-W | 1 | no lag | 63.52684∗∗∗ | -13.8044∗∗∗ | 2.006 | 257 |
| RIP-W | 1 | no lag | 24.82248∗∗∗ | -8.62497∗∗∗ | 2.04 | 243 |
Notes: The modified SC criterion is used to determine optimal lag length of the tests.
W – Weekly series, D – Daily series.
“∗∗∗”, ‘∗∗’, ‘∗’ denote 1%, 5%, 10% critical levels, respectively.