Null Hypothesis: L_BLACKREV has a unit root | |||||
Exogenous: Constant | |||||
Bandwidth: 6 (Newey-West automatic) using Bartlett kernel | |||||
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| Adj. t-Stat | Prob.* |
Phillips-Perron test statistic |
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| 0.379457 | 0.9811 | |
Test critical values: | 1% level | −3.503049 |
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| 5% level | −2.893230 |
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| 10% level | −2.583740 |
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*MacKinnon (1996) one-sided p-values. |
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Residual variance (no correction) | 0.002351 | ||||
HAC corrected variance (Bartlett kernel) | 0.001209 | ||||
Phillips-Perron Test Equation |
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Dependent Variable: D(L_BLACKREV) |
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Method: Least Squares |
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Date: 12/23/19 Time: 15:03 |
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Sample (adjusted): 2012M02 2019M09 |
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Included observations: 92 after adjustments |
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Variable | Coefficient | Std. Error | t-Statistic | Prob. | |
L_BLACKREV(−1) | −0.002207 | 0.017887 | −0.123412 | 0.9021 | |
C | 0.026424 | 0.119541 | 0.221046 | 0.8256 | |
R-squared | 0.000169 | Mean dependent var | 0.011685 | ||
Adjusted R-squared | −0.010940 | S. D. dependent var | 0.048759 | ||
S. E. of regression | 0.049025 | Akaike info criterion | −3.171494 | ||
Sum squared resid | 0.216306 | Schwarz criterion | −3.116672 | ||
Log likelihood | 147.8887 | Hannan-Quinn criter. | −3.149367 | ||
F-statistic | 0.015230 | Durbin-Watson stat | 1.835561 | ||
Prob (F-statistic) | 0.902056 |
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