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| Adj. t-Stat | Prob.* |
Phillips-Perron test statistic |
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| −1.010947 | 0.7467 | |
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) |
| 5.87E−05 | |||
HAC corrected variance (Bartlett kernel) |
| 4.48E−05 | |||
Phillips-Perron Test Equation |
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Dependent Variable: D(R_3REV) |
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Method: Least Squares |
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Date: 12/23/19 Time: 15:05 |
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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. | |
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 |
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