Null Hypothesis: D(L_CPI) has a unit root

Exogenous: Constant

Bandwidth: 0 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−5.534652

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)

2.37E−05

HAC corrected variance (Bartlett kernel)

2.37E−05

Phillips-Perron Test Equation

Dependent Variable: D(L_CPI,2)

Method: Least Squares

Date: 12/29/19 Time: 10:48

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

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