Null Hypothesis: D(L_N10) has a unit root | |||||
Exogenous: Constant | |||||
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel | |||||
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| Adj. t-Stat | Prob.* |
Phillips-Perron test statistic |
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| −9.805208 | 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) |
| 0.000727 | |||
HAC corrected variance (Bartlett kernel) |
| 0.000727 | |||
Phillips-Perron Test Equation |
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Dependent Variable: D(L_N10,2) |
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Method: Least Squares |
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Date: 12/29/19 Time: 10:28 |
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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_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 |
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