Null Hypothesis: D(L_BLACKREV) has a unit root

Exogenous: Constant

Bandwidth: 5 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−8.959985

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)

0.002364

HAC corrected variance (Bartlett kernel)

0.001102

Phillips-Perron Test Equation

Dependent Variable: D(L_BLACKREV,2)

Method: Least Squares

Date: 12/29/19 Time: 10:40

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(L_BLACKREV(−1))

−0.932319

0.107242

−8.693573

0.0000

C

0.011127

0.005283

2.106221

0.0380

R-squared

0.459224

Mean dependent var

0.001034

Adjusted R-squared

0.453148

S. D. dependent var

0.066484

S. E. of regression

0.049164

Akaike info criterion

−3.165568

Sum squared resid

0.215124

Schwarz criterion

−3.110384

Log likelihood

146.0334

Hannan-Quinn criter.

−3.143305

F-statistic

75.57820

Durbin-Watson stat

1.940696

Prob (F-statistic)

0.000000