Case u rt1: Unit Root Tests – More Examples

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Test Using Unit Root Test Routine

ADF Test Statistic	-3.568333	1% Critical Value*		-3.4928
		5% Critical Value		-2.8887
		10% Critical Value		-2.5811
*MacKinnon critical values for rejection of hypothesis of a unit root.


Augmented Dickey-Fuller Test Equation
Dependent Variable: D(Y)
Method: Least Squares
Sample(adjusted): 3 108
Included observations: 106 after adjusting endpoints
Variable	Coefficient	Std. Error	t-Statistic	Prob.
Y(-1)	-0.313898	0.087968	-3.568333	0.0005
D(Y(-1))	-0.211258	0.097010	-2.177693	0.0317
C	1.308143	0.366499	3.569297	0.0005
R-squared	0.233052	Mean dependent var		0.003104
Adjusted R-squared	0.218160	S.D. dependent var		0.362739
S.E. of regression	0.320740	Akaike info criterion		0.591520
Sum squared resid	10.59602	Schwarz criterion		0.666901
Log likelihood	-28.35057	F-statistic		15.64928
Durbin-Watson stat	1.993541	Prob(F-statistic)		0.000001

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