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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