Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−2.139337

0.2301

Test critical values:

1% level

−3.503049

5% level

−2.893230

10% level

−2.583740

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction)

0.001089

HAC corrected variance (Bartlett kernel)

0.000979

Phillips-Perron Test Equation

Dependent Variable: D(L_N1)

Method: Least Squares

Date: 12/23/19 Time: 14:11

Sample (adjusted): 2012M02 2019M09

Included observations: 92 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

L_N1(−1)

−0.032902

0.015664

−2.100531

0.0385

C

0.162843

0.074589

2.183200

0.0316

R-squared

0.046734

Mean dependent var

0.006337

Adjusted R-squared

0.036142

S. D. dependent var

0.033986

S. E. of regression

0.033367

Akaike info criterion

−3.941027

Sum squared resid

0.100199

Schwarz criterion

−3.886206

Log likelihood

183.2872

Hannan-Quinn criter.

−3.918901

F-statistic

4.412232

Durbin-Watson stat

2.040940

Prob (F-statistic)

0.038479