Null Hypothesis: D(R_3REV) has a unit root | |||||
Exogenous: Constant | |||||
Bandwidth: 12 (Newey-West automatic) using Bartlett kernel | |||||
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| Adj. t-Stat | Prob.* |
Phillips-Perron test statistic |
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| −7.633468 | 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) |
| 5.66E−05 | |||
HAC corrected variance (Bartlett kernel) |
| 2.44E−05 | |||
Phillips-Perron Test Equation |
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Dependent Variable: D(R_3REV,2) |
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Method: Least Squares |
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Date: 12/29/19 Time: 10:46 |
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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(R_3REV(−1)) | −0.787383 | 0.102952 | −7.648041 | 0.0000 | |
C | −0.000640 | 0.000804 | −0.796507 | 0.4279 | |
R-squared | 0.396580 | Mean dependent var | 0.000121 | ||
Adjusted R-squared | 0.389800 | S. D. dependent var | 0.009742 | ||
S. E. of regression | 0.007610 | Akaike info criterion | −6.896960 | ||
Sum squared resid | 0.005154 | Schwarz criterion | −6.841777 | ||
Log likelihood | 315.8117 | Hannan-Quinn criter. | −6.874697 | ||
F-statistic | 58.49253 | Durbin-Watson stat | 1.863979 | ||
Prob (F-statistic) | 0.000000 |
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