Null Hypothesis: L_CPI has a unit root

Exogenous: Constant

Bandwidth: 3 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−2.211630

0.2037

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)

3.28E−05

HAC corrected variance (Bartlett kernel)

6.45E−05

Phillips-Perron Test Equation

Dependent Variable: D(L_CPI)

Method: Least Squares

Date: 12/23/19 Time: 15:07

Sample (adjusted): 2012M02 2019M09

Included observations: 92 after adjustments

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