Table 3.
BDS test results
| Dimension | TLREF | VIX | GOLD | MSCI_EM | CDS | XU100 | USDTL | CBRT_SEC | EMISSION |
|---|---|---|---|---|---|---|---|---|---|
| 2 |
0.2008 [0.000] |
0.1785 [0.000] |
0.1956 [0.000] |
0.1880 [0.000] |
0.1823 [0.000] |
0.1845 [0.000] |
0.2000 [0.000] |
0.2053 [0.000] |
0.2031 [0.000] |
| 3 |
0.3415 [0.000] |
0.3036 [0.000] |
0.3330 [0.000] |
0.3180 [0.000] |
0.3079 [0.000] |
0.3120 [0.000] |
0.33991 [0.000] |
0.3471 [0.000] |
0.3451 [0.000] |
| 4 |
0.4397 [0.000] |
0.3878 [0.000] |
0.4292 [0.000] |
0.4072 [0.000] |
0.3928 [0.000] |
0.3993 [0.000] |
0.4375 [0.000] |
0.4452 [0.000] |
0.4439 [0.000] |
| 5 |
0.5081 [0.000] |
0.4431 [0.000] |
0.4958 [0.000] |
0.4681 [0.000] |
0.4493 [0.000] |
0.4584 [0.000] |
0.5054 [0.000] |
0.5136 [0.000] |
0.5124 [0.000] |
| 6 |
0.5550 [0.000] |
0.4787 [0.000] |
0.5416 [0.000] |
0.5093 [0.000] |
0.4854 [0.000] |
0.4981 [0.000] |
0.5524 [0.000] |
0.5612 [0.000] |
0.55593 [0.000] |
| Observations | 945 | 945 | 945 | 945 | 945 | 945 | 945 | 945 | 945 |
The BDS test’s null hypothesis indicates that data in a time series is independently and identically distributed. The brackets show p values