Table 4.

Estimates of d based on autocorrelated errors – ESG indices

Series	No deterministic terms	An intercept	An intercept and a linear time trend
USA	0.008 (-0.023, 0.054)	0.008 (-0.023, 0.054)	0.008 (-0.023, 0.054)
UK	-0.082 (-0.122, -0.033)	-0.082 (-0.122, -0.033)	-0.083 (-0.123, -0.032)
CHINA	-0.043 (-0.088, -0.001)	-0.044 (-0.089, -0.001)	-0.051 (-0.088, -0.014)
INDIA	0.031 (-0.009, 0.060)	0.031 (-0.009, 0.060)	0.031 (-0.010, 0.060)
JAPAN	-0.059 (-0.092, -0.011)	-0.059 (-0.092, -0.012)	-0.059 (-0.093, -0.012)
SOUTH AFRICA	-0.067 (-0.107, -0.014)	-0.067 (-0.107, -0.014)	-0.067 (-0.108, -0.015)
WORLD	0.011 (-0.036, 0.063)	0.011 (-0.036, 0.065)	0.011 (-0.036, 0.065)
EMERGING MKTS	0.003 (-0.042, 0.028)	0.003 (-0.042, 0.028)	0.003 (-0.050, 0.029)
EAFE	-0.037 (-0.037, 0.022)	-0.037 (-0.037, 0.022)	-0.037 (-0.074, 0.023)
EUROPE	-0.058 (-0.087, -0.021)	-0.058 (-0.087, -0.021)	-0.054 (-0.087, -0.021)
PACIFIC	-0.019 (-0.055, 0.032)	-0.019 (-0.054, 0.032)	-0.019 (-0.055, 0.033)
BRICS	0.008 (-0.044, 0.061)	0.008 (-0.044, 0.061)	0.007 ( +) (-0.045, 0.058)

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