Null Hypothesis: D(L_N2) has a unit root

Exogenous: Constant

Bandwidth: 1 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−7.437614

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)

0.002955

HAC corrected variance (Bartlett kernel)

0.002971

Phillips-Perron Test Equation

Dependent Variable: D(L_N2,2)

Method: Least Squares

Date: 12/29/19 Time: 10:25

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(L_N2(−1))

−0.760752

0.102352

−7.432709

0.0000

C

0.008291

0.005854

1.416158

0.1602

R-squared

0.382995

Mean dependent var

0.000581

Adjusted R-squared

0.376062

S. D. dependent var

0.069583

S. E. of regression

0.054963

Akaike info criterion

−2.942565

Sum squared resid

0.268867

Schwarz criterion

−2.887381

Log likelihood

135.8867

Hannan-Quinn criter.

−2.920302

F-statistic

55.24516

Durbin-Watson stat

1.988213

Prob (F-statistic)

0.000000