Null Hypothesis: D(L_N5) has a unit root | |||||
Exogenous: Constant | |||||
Bandwidth: 4 (Newey-West automatic) using Bartlett kernel | |||||
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| Adj. t-Stat | Prob.* |
Phillips-Perron test statistic |
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| −6.409838 | 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) |
| 0.002975 | |||
HAC corrected variance (Bartlett kernel) |
| 0.002639 | |||
Phillips-Perron Test Equation |
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Dependent Variable: D(L_N5,2) |
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Method: Least Squares |
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Date: 12/29/19 Time: 10:27 |
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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_N5(−1)) | −0.652065 | 0.099649 | −6.543588 | 0.0000 | |
C | 0.004669 | 0.005829 | 0.800966 | 0.4253 | |
R-squared | 0.324829 | Mean dependent var | −0.000179 | ||
Adjusted R-squared | 0.317243 | S. D. dependent var | 0.066747 | ||
S. E. of regression | 0.055153 | Akaike info criterion | −2.935694 | ||
Sum squared resid | 0.270721 | Schwarz criterion | −2.880510 | ||
Log likelihood | 135.5741 | Hannan-Quinn criter. | −2.913431 | ||
F-statistic | 42.81855 | Durbin-Watson stat | 1.893317 | ||
Prob (F-statistic) | 0.000000 |
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