Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−1.010947

0.7467

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)

5.87E−05

HAC corrected variance (Bartlett kernel)

4.48E−05

Phillips-Perron Test Equation

Dependent Variable: D(R_3REV)

Method: Least Squares

Date: 12/23/19 Time: 15:05

Sample (adjusted): 2012M02 2019M09

Included observations: 92 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

R_3REV(−1)

−0.023942

0.021479

−1.114696

0.2679

C

0.001087

0.001988

0.546996

0.5857

R-squared

0.013618

Mean dependent var

−0.000938

Adjusted R-squared

0.002658

S. D. dependent var

0.007754

S. E. of regression

0.007744

Akaike info criterion

−6.862368

Sum squared resid

0.005397

Schwarz criterion

−6.807546

Log likelihood

317.6689

Hannan-Quinn criter.

−6.840242

F-statistic

1.242547

Durbin-Watson stat

1.545287

Prob (F-statistic)

0.267949