Null Hypothesis: D(L_N5) has a unit root

Exogenous: Constant

Bandwidth: 4 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−6.409838

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)

0.002975

HAC corrected variance (Bartlett kernel)

0.002639

Phillips-Perron Test Equation

Dependent Variable: D(L_N5,2)

Method: Least Squares

Date: 12/29/19 Time: 10:27

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

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