Null Hypothesis: D(L_N10) has a unit root

Exogenous: Constant

Bandwidth: 0 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−9.805208

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)

0.000727

HAC corrected variance (Bartlett kernel)

0.000727

Phillips-Perron Test Equation

Dependent Variable: D(L_N10,2)

Method: Least Squares

Date: 12/29/19 Time: 10:28

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(L_N10(−1))

−1.038502

0.105913

−9.805208

0.0000

C

0.008389

0.002981

2.814338

0.0060

R-squared

0.519288

Mean dependent var

6.17E−05

Adjusted R-squared

0.513887

S. D. dependent var

0.039092

S. E. of regression

0.027255

Akaike info criterion

−4.345399

Sum squared resid

0.066114

Schwarz criterion

−4.290215

Log likelihood

199.7156

Hannan-Quinn criter.

−4.323136

F-statistic

96.14210

Durbin-Watson stat

2.003520

Prob (F-statistic)

0.000000