Case u rt1: Unit Root Tests – More Examples

2. Unit Root Test Using _

(a) Regression output

Dependent Variable: D(Y)
Method: Least Squares
Sample(adjusted): 2 108
Included observations: 107 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	4.262106	0.610344	6.983121	0.0000
Y(-1)	-0.630127	0.090107	-6.993069	0.0000
R-squared	0.317752	Mean dependent var		-0.000982
Adjusted R-squared	0.311255	S.D. dependent var		0.371408
S.E. of regression	0.308234	Akaike info criterion		0.502601
Sum squared resid	9.975877	Schwarz criterion		0.552561
Log likelihood	-24.88917	F-statistic		48.90301
Durbin-Watson stat	2.091670	Prob(F-statistic)		0.000000