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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