Null Hypothesis: D(L_N1) has a unit root

Exogenous: Constant

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

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−9.605673

0.0000

Test critical values:

1% level

−3.503879

5% level

−2.893589

10% level

−2.583931

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction)

0.001140

HAC corrected variance (Bartlett kernel)

0.001171

Phillips-Perron Test Equation

Dependent Variable: D(L_N1,2)

Method: Least Squares

Date: 12/29/19 Time: 10:23

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

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