Null Hypothesis: D(L_CC) has a unit root | |||||
Exogenous: Constant | |||||
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel | |||||
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| Adj. t-Stat | Prob.* |
Phillips-Perron test statistic |
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| −8.802901 | 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) |
| 0.000823 | |||
HAC corrected variance (Bartlett kernel) |
| 0.000828 | |||
Phillips-Perron Test Equation |
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Dependent Variable: D(L_CC,2) |
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Method: Least Squares |
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Date: 12/29/19 Time: 10:31 |
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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_CC(−1)) | −0.930108 | 0.105685 | −8.800787 | 0.0000 | |
C | 0.007135 | 0.003146 | 2.268057 | 0.0257 | |
R-squared | 0.465317 | Mean dependent var | 5.02E−05 | ||
Adjusted R-squared | 0.459310 | S. D. dependent var | 0.039450 | ||
S. E. of regression | 0.029009 | Akaike info criterion | −4.220717 | ||
Sum squared resid | 0.074893 | Schwarz criterion | −4.165533 | ||
Log likelihood | 194.0426 | Hannan-Quinn criter. | −4.198454 | ||
F-statistic | 77.45385 | Durbin-Watson stat | 1.987763 | ||
Prob (F-statistic) | 0.000000 |
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