Null Hypothesis: D(L_NEERREV) has a unit root

Exogenous: Constant

Bandwidth: 4 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−9.259917

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)

0.000655

HAC corrected variance (Bartlett kernel)

0.000748

Phillips-Perron Test Equation

Dependent Variable: D(L_NEERREV,2)

Method: Least Squares

Date: 12/29/19 Time: 11:00

Sample (adjusted): 2012M03 2019M09

Included observations: 91 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(L_NEERREV(−1))

−0.989291

0.107425

−9.209112

0.0000

C

−0.001076

0.002717

−0.395904

0.6931

R-squared

0.487940

Mean dependent var

0.000422

Adjusted R-squared

0.482186

S. D. dependent var

0.035953

S. E. of regression

0.025871

Akaike info criterion

−4.449619

Sum squared resid

0.059571

Schwarz criterion

−4.394436

Log likelihood

204.4577

Hannan-Quinn criter.

−4.427356

F-statistic

84.80774

Durbin-Watson stat

1.974041

Prob (F-statistic)

0.000000