Table 4 Stability test for variables.

From: ESG uncertainty, investor attention and stock price crash risk in China: evidence from PVAR model analysis

Methodology

Statistic

Uncertainty

NCSKEW

Attention

Augmented Dickey-Fuller

Inverse chi2

13100***

10900***

7441.3534***

Inverse normal

−34.4054***

−27.6483***

−1.8948**

Inverse logit t

−63.0312***

−45.5271***

−13.2523***

Modified inv. Chi2

100.3528***

75.4279***

37.4615***

Phillips–Perron

Inverse chi2

13200***

16200***

6820.1666***

Inverse normal

−40.4880***

−67.4590***

−7.2128***

Inverse logit t

−63.1876***

−88.9339***

−14.4959***

Modified inv. Chi2

100.6183***

133.5156***

30.1865***

  1. Note: *, ** and *** represent significance at 1%, 5%, and 10% levels, respectively.
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