Null Hypothesis: D(R_3REV) has a unit root

Exogenous: Constant

Bandwidth: 12 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−7.633468

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)

5.66E−05

HAC corrected variance (Bartlett kernel)

2.44E−05

Phillips-Perron Test Equation

Dependent Variable: D(R_3REV,2)

Method: Least Squares

Date: 12/29/19 Time: 10:46

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

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