Null Hypothesis: Unit root (individual unit root process)

Series: D (CRMS)

Date: 03/28/16 Time: 09:30

Sample: 1 144

Exogenous variables: Individual effects

Newey-West automatic bandwidth selection and Bartlett kernel

Total (balanced) observations: 140

Cross-sections included: 2

Method

Statistic

Prob.^**

PP-Fisher Chi-square

36.8414

0.0000

PP-Choi Z-stat

−5.25948

0.0000

^**Probabilities for Fisher tests are computed using an

asymptotic Chi-square distribution. All other tests

assume asymptotic normality.

Intermediate Phillips-Perron test results D(CRMS)

Cross

section

Prob.

Bandwidth

Obs

FFV

0.0001

10.0

70

JLX

0.0001

6.0

70