Null Hypothesis: D(L_CC) has a unit root

Exogenous: Constant

Bandwidth: 1 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−8.802901

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)

0.000823

HAC corrected variance (Bartlett kernel)

0.000828

Phillips-Perron Test Equation

Dependent Variable: D(L_CC,2)

Method: Least Squares

Date: 12/29/19 Time: 10:31

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

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