The Influence of Confidence and Social Networks on an Agent-Based Model of Stock Exchange

Table 4

ADF unit root test.

Variable	Deterministic term	Lagged differences	Test statistic
Prices: real data
Dow Jones	Constant	27	−0.073
	Constant and trend	27	−3.171
Small caps	Constant	9	−0.689
	Constant and trend	9	−4.060()
Large caps	Constant	27	0.805
	Constant and trend	27	−2.081
Prices: simulated data
No network effect	Constant	14	−3.120()
	Constant and trend	14	−2.845
Barabási	Constant	26	−1.389
	Constant and trend	26	−1.915
Random	Constant	17	−1.766
	Constant and trend	17	−3.049
Small-world	Constant	17	−1.812
	Constant and trend	17	−3.199
Returns: real data
Dow Jones	Constant	12	−16.914()
	Constant and trend	12	−16.913()
Small caps (DJ)	Constant	12	−16.450()
	Constant and trend	12	−16.455()
Large caps (DJ)	Constant	12	−17.293()
	Constant and trend	12	−17.290()
RETURNS: simulated data
No network effect	Constant	5	−5.032()
	Constant and trend	5	−5.185()
Barabási	Constant	21	−4.477()
	Constant and trend	21	−4.831()
Random	Constant	19	−4.028()
	Constant and trend	19	−4.856()
Small-world	Constant	8	−3.446()
	Constant and trend	8	−4.593()

Number of lagged differences determined by Akaike information criteria. The symbols and indicate statistical significance at 1% and 5% levels, respectively.