Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−2.205882

0.2057

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)

0.003188

HAC corrected variance (Bartlett kernel)

0.003188

Phillips-Perron Test Equation

Dependent Variable: D(L_N5)

Method: Least Squares

Date: 12/23/19 Time: 14:31

Sample (adjusted): 2012M02 2019M09

Included observations: 92 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

L_N5(−1)

−0.061550

0.027903

−2.205882

0.0299

C

0.399456

0.178080

2.243124

0.0273

R-squared

0.051293

Mean dependent var

0.006852

Adjusted R-squared

0.040751

S. D. dependent var

0.058288

S. E. of regression

0.057088

Akaike info criterion

−2.866953

Sum squared resid

0.293312

Schwarz criterion

−2.812132

Log likelihood

133.8799

Hannan-Quinn criter.

−2.844827

F-statistic

4.865915

Durbin-Watson stat

1.287183

Prob (F-statistic)

0.029939