Null Hypothesis: L_CPI has a unit root | ||||||
Exogenous: Constant | ||||||
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel | ||||||
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| Adj. t-Stat | Prob.* | |
Phillips-Perron test statistic |
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| −2.211630 | 0.2037 | ||
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) |
| 3.28E−05 | ||||
HAC corrected variance (Bartlett kernel) |
| 6.45E−05 | ||||
Phillips-Perron Test Equation |
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Dependent Variable: D(L_CPI) |
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Method: Least Squares |
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Date: 12/23/19 Time: 15:07 |
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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_CPI(−1) | −0.014918 | 0.005189 | −2.874756 | 0.0050 | ||
C | 0.072877 | 0.023825 | 3.058822 | 0.0029 | ||
R-squared | 0.084102 | Mean dependent var | 0.004407 | |||
Adjusted R-squared | 0.073925 | S. D. dependent var | 0.006013 | |||
S. E. of regression | 0.005787 | Akaike info criterion | −7.444947 | |||
Sum squared resid | 0.003014 | Schwarz criterion | −7.390125 | |||
Log likelihood | 344.4675 | Hannan-Quinn criter. | −7.422820 | |||
F-statistic | 8.264222 | Durbin-Watson stat | 0.947078 | |||
Prob (F-statistic) | 0.005046 |
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