Case u rt1: Unit Root Tests – More Examples



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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





















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