Table 4 Second-generation unit root tests.

From: The non-linear relationship between ESG performance and bank stability in the digital era: new evidence from a regime-switching approach

Pesaran (2003)

In level

In first difference

Model with constant

Model with constant & trend

Model with constant

Model with constant & trend

BZ_Score

−2.749***

−2.858***

−3.767***

−3.762***

IUI

−0.911

−1.411

−1.984***

−2.844***

MCS

−1.776

−2.601***

−3.155***

−3.100***

ATM

−0.418

−2.160

−2.454***

−2.558***

ESG

−1.815

−1.054

−2.668**

−2.344**

NIM

0.564

−1.197

−1.505

−3.397***

ROA

−2.334***

−2.672***

−3.985***

−3.984***

CIR

−1.805

−2.082

−2.652***

−2.837***

GDPG

−2.169***

−2.105

−3.327***

−3.271***

Pesaran (2007)

In level

In first difference

Model with constant

Model with constant & trend

Model with constant

Model with constant & trend

BZ_Score

−3.483***

−3.510***

−5.218***

−5.302***

IUI

−1.228

−1.910

−3.748***

−5.013***

MCS

1.835

−2.455

−4.137***

−4.147***

ATM

−0.521

−2.390

−3.624***

−3.700***

ESG

−1.815

−2.054

−2.339**

−2.593**

NIM

0.543

−1.169

−5.516***

−4.054***

ROA

−2.812***

−3.077***

−4.894***

−4.953***

CIR

−1.802

−2.172

−3.708***

−3.874***

GDPG

−3.457***

−3.575***

−6.033***

−6.194***

  1. Notes: ** significant at 5%, *** significant at 1%.
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