Null Hypothesis: D(L_N1) 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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| −9.605673 | 0.0000 | |
Test critical values: | 1% level | −3.503879 |
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| 5% level | −2.893589 |
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| 10% level | −2.583931 |
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*MacKinnon (1996) one-sided p-values. |
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Residual variance (no correction) |
| 0.001140 | |||
HAC corrected variance (Bartlett kernel) |
| 0.001171 | |||
Phillips-Perron Test Equation |
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Dependent Variable: D(L_N1,2) |
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Method: Least Squares |
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Date: 12/29/19 Time: 10:23 |
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Sample (adjusted): 2012M03 2019M09 |
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Included observations: 91 after adjustments |
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Variable | Coefficient | Std. Error | t-Statistic | Prob. | |
D(L_N1(−1)) | −1.013809 | 0.105536 | −9.606271 | 0.0000 | |
C | 0.006825 | 0.003646 | 1.872051 | 0.0645 | |
R-squared | 0.509048 | Mean dependent var | 0.000171 | ||
Adjusted R-squared | 0.503532 | S. D. dependent var | 0.048460 | ||
S. E. of regression | 0.034145 | Akaike info criterion | −3.894640 | ||
Sum squared resid | 0.103766 | Schwarz criterion | −3.839456 | ||
Log likelihood | 179.2061 | Hannan-Quinn criter. | −3.872377 | ||
F-statistic | 92.28045 | Durbin-Watson stat | 2.004784 | ||
Prob (F-statistic) | 0.000000 |
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