Null Hypothesis: D(L_BLACKREV) has a unit root | |||||
Exogenous: Constant | |||||
Bandwidth: 5 (Newey-West automatic) using Bartlett kernel | |||||
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| Adj. t-Stat | Prob.* |
Phillips-Perron test statistic |
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| −8.959985 | 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) |
| 0.002364 | |||
HAC corrected variance (Bartlett kernel) |
| 0.001102 | |||
Phillips-Perron Test Equation |
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Dependent Variable: D(L_BLACKREV,2) |
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Method: Least Squares |
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Date: 12/29/19 Time: 10:40 |
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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_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 |
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