Table 3.

Estimates of d based on white noise errors – ESG indices

Series	No deterministic terms	An intercept	An intercept and a linear time trend
USA	-0.086 (-0.103, -0.068)	-0.087 (-0.105, -0.067)	-0.089 ( +) (-0.108, -0.070)
UK	-0.027 (-0.049, -0.002)	-0.027 (-0.049, -0.002)	-0.027 (-0.049, -0.002)
CHINA	-0.018 (-0.048, 0.006)	-0.018 (-0.048, 0.006)	-0.020 ( +) (-0.052, 0.004)
INDIA	0.009 (-0.013, 0.033)	0.009 (-0.013, 0.033)	0.009 (-0.014, 0.032)
JAPAN	-0.099 (-0.118, -0.079)	-0.099 (-0.118, -0.079)	-0.103 ( +) (-0.120, -0.081)
SOUTH AFRICA	0.001 (-0.024, -0.028)	0.001 (-0.023, -0.028)	0.001 (-0.024, -0.028)
WORLD	0.029 (0.006, 0.054)	0.029 (0.006, 0.054)	0.028 (0.005, 0.053)
EMERGING MKTS	0.109 (0.083, 0.139)	0.109 (0.083, 0.139)	0.109 (0.083, 0.138)
EAFE	0.057 (0.032, 0.084)	0.057 (0.032, 0.084)	0.056 (0.031, 0.083)
EUROPE	-0.016 (-0.038, 0.007)	-0.016 (-0.038, 0.007)	-0.018 (-0.039, 0.006)
PACIFIC	-0.034 (-0.055, -0.012)	-0.034 (-0.055, -0.012)	-0.035 (-0.056, -0.012)
BRICS	0.047 (-0.016, 0.082)	0.047 (-0.016, 0.082)	0.046 (-0.015, 0.081)

The values in bold are those from the specification selected on the basis of the statistical significance of the deterministic terms; in brackets the corresponding confidence intervals.