Adj. t-Stat

Prob.*

Phillips-Perron test statistic

−1.674705

0.4406

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)

0.000794

HAC corrected variance (Bartlett kernel)

0.000844

Phillips-Perron Test Equation

Dependent Variable: D(L_CC)

Method: Least Squares

Date: 12/23/19 Time: 14:47

Sample (adjusted): 2012M02 2019M09

Included observations: 92 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

L_CC(−1)

−0.025671

0.015254

−1.682897

0.0959

C

0.218952

0.125654

1.742490

0.0848

R-squared

0.030508

Mean dependent var

0.007547

Adjusted R-squared

0.019736

S. D. dependent var

0.028781

S. E. of regression

0.028496

Akaike info criterion

−4.256616

Sum squared resid

0.073081

Schwarz criterion

−4.201794

Log likelihood

197.8043

Hannan-Quinn criter.

−4.234489

F-statistic

2.832141

Durbin-Watson stat

1.868165

Prob (F-statistic)

0.095861