Table 7.
Summary of the estimates of the differencing parameter d
| Method | White noise errors | Autocorrelated errors | ||
|---|---|---|---|---|
| Countries | ESG | Conventional | ESG | Conventional |
| USA |
-0.089* (-0.108, -0.070) |
-0.089* (-0.108, -0.067) |
0.008 (-0.023, 0.054) |
-0.039 (-0.090, 0.004) |
| UK |
-0.027* (-0.049, -0.002) |
-0.024* (-0.041, -0.002) |
-0.082* (-0.122, -0.033) |
-0.075* (-0.110, -0.041) |
| CHINA |
-0.020 (-0.052, 0.004) |
0.007 (-0.016, 0.034) |
-0.043* (-0.088, -0.001) |
-0.028* (-0.059, -0.001) |
| INDIA |
0.009* (-0.013, 0.033) |
0.033+ (0.012, 0.052) |
0.031 (-0.009, 0.060) |
-0.006 (-0.031, 0.036) |
| JAPAN |
-0.103* (-0.120, -0.081) |
-0.100* (-0.114, -0.079) |
-0.059* (-0.092, -0.011) |
-0.059* (-0.101, -0.024) |
| SOUTH AFRICA |
0.001* (-0.024, -0.028) |
0.001 (-0024, 0.027) |
-0.067* (-0.107, -0.014) |
-0.099* (-0.131, -0.058) |
| WORLD |
0.029+ (0.006, 0.054) |
0.030+ (0.006, 0.057) |
0.011 (-0.036, 0.063) |
-0.059* (-0.080, -0.021) |
| EMERGING MKTS |
0.109+ (0.083, 0.139) |
0.126+ (0.094, 0.156) |
0.003 (-0.042, 0.028) |
-0.009 (-0.041, 0.036) |
| EAFE |
0.057+ (0.032, 0.084) |
0.063+ (0.031. 0.089) |
-0.037 (-0.037, 0.022) |
-0.057* (-0.081, -0.018) |
| EUROPE |
-0.016 (-0.038, 0.007) |
-0.013 (-0.034, 0.011) |
-0.058* (-0.087, -0.021) |
-0.048* (-0.093, -0.024) |
| PACIFIC |
-0.034* (-0.055, -0.012) |
-0.021* (-0.046, -0.004) |
-0.019 (-0.055, 0.032) |
-0.036* (-0.075, -0.004) |
| BRICS |
0.047 (-0.016, 0.082) |
0.097+ (0.071, 0.122) |
0.007 (-0.045, 0.058) |
-0.028 (-0.054, 0.016) |
*: Evidence of Anti-Persistence (d < 0) at the 95% level: + : Evidence of long memory (d > 0) at the 95% level