A Hybrid Forecasting Model for Nonstationary and Nonlinear Time Series in the Stochastic Process of CO₂ Emission Trading Price Fluctuation

Table 2

The ADF test, Phillips–Perron test, and Breakpoint ADF test results for nonstationary time series.

	EUA spot	EUA futures—DEC18	EUA futures—DEC19
Panel A: ADF test
t-statistic	−0.8185	0.8239	−0.2305
Prob.	0.8132	0.9945	0.9321
Critical values:
1%	−3.4328	−3.4340	−3.4338
5%	−2.8625	−2.8630	−2.8630
10%	−2.5673	−2.5676	−2.5676
Panel B: Phillips–Perron test
Adj. t-Statistic	−0.6770	1.6015	0.1372
Prob.	0.8505	0.9995	0.9684
Critical values:
1%	−3.4328	−3.4340	−3.4338
5%	−2.8625	−2.8630	−2.8630
10%	−2.5673	−2.5676	−2.5676
Panel C: Breakpoint ADF test
t-Statistic	−3.1497	−4.3648	−3.8930
Prob.	0.6151	0.2706	0.5113
Critical values:
1%	−5.1497	−5.7114	−5.7114
5%	−4.6106	−5.1550	−5.1550
10%	−4.3073	−4.8610	−4.8610