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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