Null Hypothesis: R has a unit root

Exogenous: Constant

Lag Length: 0 (Automatic—based on SIC, maxlag = 18)

t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

−25.70252

0.0000

Test critical values:

1% level

−3.443046

5% level

−2.867032

10% level

−2.569757

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D (R)

Method: Least Squares

Sample (adjusted): 1/05/2016 1/24/2018

Included observations: 506 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

R (−1)

−1.100279

0.042808

−25.70252

0.0000

C

0.070805

0.043952

1.610968

0.1078

R-squared

0.567241

Mean dependent var

0.011564

Adjusted R-squared

0.566382

S.D. dependent var

1.499345

S.E. of regression

0.987314

Akaike info. criterion

2.816288

Sum squared resid

491.2939

Schwarz criterion

2.832994

Log likelihood

−710.5209

Hannan-Quinn criter.

2.82284

F-statistic

660.6194

Durbin-Watson stat

1.991526

Prob. (F-statistic)

0.0000