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 |