Null Hypothesis: L_BLACKREV has a unit root

Exogenous: Constant

Bandwidth: 6 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

0.379457

0.9811

Test critical values:

1% level

−3.503049

5% level

−2.893230

10% level

−2.583740

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

Residual variance (no correction)

0.002351

HAC corrected variance (Bartlett kernel)

0.001209

Phillips-Perron Test Equation

Dependent Variable: D(L_BLACKREV)

Method: Least Squares

Date: 12/23/19 Time: 15:03

Sample (adjusted): 2012M02 2019M09

Included observations: 92 after adjustments

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