Intelligent Soft Computing on Forex: Exchange Rates Forecasting with Hybrid Radial Basis Neural Network

Table 5

Unit root tests of USD/CAD.

(a)

Test	Original series [ value]		1st differences (returns) [ value]
Augmented Dickey-Fuller	(I)	−1.017396	(I)	−30.61353
		[0.2781]		[0.0000]
	(II)	−1.848666	(II)	−30.61866
		[0.3569]		[0.0000]
	(III)	−2.454401	(III)	−30.60792
		[0.3510]		[0.0000]
Phillips-Perron	(I)	−1.077154	(I)	−30.66946
		[0.2550]		[0.0000]
	(II)	−1.794202	(II)	−30.68702
		[0.3836]		[0.0000]
	(III)	−2.415434	(III)	−30.67642
		[0.3712]		[0.0000]

(b)

Test	Window	Spectral estimation method
		Bartlett kernel				Quadratic spectral kernel
		Original series		Returns		Original series		Returns
		(II)	(III)	(II)	(III)	(II)	(III)	(II)	(III)
KPSS; : stationary series	Newey-West	2.735123; (0.463)	0.668131; (0.146)	0.074401; (0.463)	0.026211; (0.146)	4.846899; (0.463)	1.158977; (0.146)	0.072329; (0.463)	0.025495; (0.146)
	Andrews	0.380551; (0.463)	0.150720; (0.146)	0.065257; (0.463)	0.022956; (0.146)	0.306275; (0.463)	0.132197; (0.146)	0.065106; (0.463)	0.022906; (0.146)
Elliot-Rothenberg-Stock; : unit root	Newey-West	30.18086; (3.26)	8.632243; (5.62)	0.358755; (3.26)	0.438046; (5.62)	29.71523; (3.26)	8.977311; (5.62)	0.352926; (3.26)	0.431096; (5.62)
	Andrews	27.06265; (3.26)	8.375229; (5.62)	0.323259; (3.26)	0.394417; (5.62)	27.29972; (3.26)	8.378941; (5.62)	0.323530; (3.26)	0.394799; (5.62)

(I): model without constant and deterministic trend (5%).
(II): model with constant and without deterministic trend (5%).
(III): model with constant and deterministic trend (5%).