Null Hypothesis: D(L_CPI) has a unit root | |||||
Exogenous: Constant | |||||
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel | |||||
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| Adj. t-Stat | Prob.* |
Phillips-Perron test statistic |
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| −5.534652 | 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) |
| 2.37E−05 | |||
HAC corrected variance (Bartlett kernel) |
| 2.37E−05 | |||
Phillips-Perron Test Equation |
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Dependent Variable: D(L_CPI,2) |
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Method: Least Squares |
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Date: 12/29/19 Time: 10:48 |
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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_CPI(−1)) | −0.476819 | 0.086152 | −5.534652 | 0.0000 | |
C | 0.001902 | 0.000644 | 2.955474 | 0.0040 | |
R-squared | 0.256054 | Mean dependent var | −0.000227 | ||
Adjusted R-squared | 0.247695 | S. D. dependent var | 0.005674 | ||
S. E. of regression | 0.004922 | Akaike info criterion | −7.768622 | ||
Sum squared resid | 0.002156 | Schwarz criterion | −7.713438 | ||
Log likelihood | 355.4723 | Hannan-Quinn criter. | −7.746358 | ||
F-statistic | 30.63237 | Durbin-Watson stat | 1.995626 | ||
Prob (F-statistic) | 0.000000 |
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