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Ha01 - PP Test

The document reports the results of Phillips-Perron unit root tests on the variables LC and LE. For LC, the tests fail to reject the null hypothesis of a unit root at the 5% level when including only a constant, but do reject it when also including a time trend. For the first difference of LC, the null is rejected at the 1% level in both cases. Similarly for LE, the null is rejected for the first difference but not the level.

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86 views17 pages

Ha01 - PP Test

The document reports the results of Phillips-Perron unit root tests on the variables LC and LE. For LC, the tests fail to reject the null hypothesis of a unit root at the 5% level when including only a constant, but do reject it when also including a time trend. For the first difference of LC, the null is rejected at the 1% level in both cases. Similarly for LE, the null is rejected for the first difference but not the level.

Uploaded by

thasan_1
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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PP TEST

LC, LEVEL, INTERCEPT

Null Hypothesis: LC has a unit root


Exogenous: Constant
Bandwidth: 1 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -0.804707 0.8046


Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.006181


HAC corrected variance (Bartlett kernel) 0.004673

Phillips-Perron Test Equation


Dependent Variable: D(LC)
Method: Least Squares
Date: 11/15/10 Time: 08:51
Sample (adjusted): 1972 2004
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LC(-1) -0.117203 0.105475 -1.111191 0.2750


C 0.035649 0.028542 1.248984 0.2210

R-squared 0.038305 Mean dependent var 0.008086


Adjusted R-squared 0.007282 S.D. dependent var 0.081415
S.E. of regression 0.081118 Akaike info criterion -2.127138
Sum squared resid 0.203983 Schwarz criterion -2.036441
Log likelihood 37.09778 F-statistic 1.234745
Durbin-Watson stat 2.457698 Prob(F-statistic) 0.275030
LC, 1ST DIFF., INTERCEPT

Null Hypothesis: D(LC) has a unit root


Exogenous: Constant
Bandwidth: 1 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -7.791338 0.0000


Test critical values: 1% level -3.653730
5% level -2.957110
10% level -2.617434

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.005862


HAC corrected variance (Bartlett kernel) 0.005710

Phillips-Perron Test Equation


Dependent Variable: D(LC,2)
Method: Least Squares
Date: 11/15/10 Time: 08:53
Sample (adjusted): 1973 2004
Included observations: 32 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LC(-1)) -1.341139 0.172847 -7.759097 0.0000


C 0.010699 0.014023 0.762964 0.4514

R-squared 0.667419 Mean dependent var 0.002049


Adjusted R-squared 0.656333 S.D. dependent var 0.134883
S.E. of regression 0.079072 Akaike info criterion -2.176446
Sum squared resid 0.187573 Schwarz criterion -2.084837
Log likelihood 36.82313 F-statistic 60.20358
Durbin-Watson stat 1.917937 Prob(F-statistic) 0.000000
LC, LEVEL, INTERCEPT & TREND

Null Hypothesis: LC has a unit root


Exogenous: Constant, Linear Trend
Bandwidth: 1 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.973483 0.1544


Test critical values: 1% level -4.262735
5% level -3.552973
10% level -3.209642

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.004716


HAC corrected variance (Bartlett kernel) 0.003791

Phillips-Perron Test Equation


Dependent Variable: D(LC)
Method: Least Squares
Date: 11/15/10 Time: 08:57
Sample (adjusted): 1972 2004
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LC(-1) -0.426636 0.137990 -3.091776 0.0043


C 0.007714 0.026943 0.286302 0.7766
@TREND(1971) 0.005924 0.001940 3.053242 0.0047

R-squared 0.266298 Mean dependent var 0.008086


Adjusted R-squared 0.217384 S.D. dependent var 0.081415
S.E. of regression 0.072024 Akaike info criterion -2.337126
Sum squared resid 0.155624 Schwarz criterion -2.201080
Log likelihood 41.56258 F-statistic 5.444256
Durbin-Watson stat 2.330212 Prob(F-statistic) 0.009612
LC, FIRST DIFF., INTERCEPT & TREND

Null Hypothesis: D(LC) has a unit root


Exogenous: Constant, Linear Trend
Bandwidth: 2 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -8.142398 0.0000


Test critical values: 1% level -4.273277
5% level -3.557759
10% level -3.212361

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.005496


HAC corrected variance (Bartlett kernel) 0.004983

Phillips-Perron Test Equation


Dependent Variable: D(LC,2)
Method: Least Squares
Date: 11/15/10 Time: 08:58
Sample (adjusted): 1973 2004
Included observations: 32 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LC(-1)) -1.377959 0.172290 -7.997903 0.0000


C -0.025725 0.029650 -0.867636 0.3927
@TREND(1971) 0.002095 0.001509 1.388266 0.1756

R-squared 0.688144 Mean dependent var 0.002049


Adjusted R-squared 0.666637 S.D. dependent var 0.134883
S.E. of regression 0.077878 Akaike info criterion -2.178288
Sum squared resid 0.175884 Schwarz criterion -2.040876
Log likelihood 37.85262 F-statistic 31.99586
Durbin-Watson stat 1.970189 Prob(F-statistic) 0.000000
LE, LEVEL, INTERCEPT

Null Hypothesis: LE has a unit root


Exogenous: Constant
Bandwidth: 6 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -1.164653 0.6777


Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.004802


HAC corrected variance (Bartlett kernel) 0.002826

Phillips-Perron Test Equation


Dependent Variable: D(LE)
Method: Least Squares
Date: 11/15/10 Time: 09:03
Sample (adjusted): 1972 2004
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LE(-1) -0.027596 0.025933 -1.064097 0.2955


C 0.237603 0.183694 1.293469 0.2054

R-squared 0.035239 Mean dependent var 0.042584


Adjusted R-squared 0.004117 S.D. dependent var 0.071647
S.E. of regression 0.071500 Akaike info criterion -2.379553
Sum squared resid 0.158479 Schwarz criterion -2.288855
Log likelihood 41.26262 F-statistic 1.132302
Durbin-Watson stat 2.204414 Prob(F-statistic) 0.295504
LE, 1ST DIFF., INTERCEPT

Null Hypothesis: D(LE) has a unit root


Exogenous: Constant
Bandwidth: 4 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -6.268357 0.0000


Test critical values: 1% level -3.653730
5% level -2.957110
10% level -2.617434

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.004950


HAC corrected variance (Bartlett kernel) 0.003807

Phillips-Perron Test Equation


Dependent Variable: D(LE,2)
Method: Least Squares
Date: 11/15/10 Time: 09:04
Sample (adjusted): 1973 2004
Included observations: 32 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LE(-1)) -1.145238 0.185854 -6.162041 0.0000


C 0.050827 0.015417 3.296828 0.0025

R-squared 0.558634 Mean dependent var -0.001705


Adjusted R-squared 0.543921 S.D. dependent var 0.107597
S.E. of regression 0.072664 Akaike info criterion -2.345472
Sum squared resid 0.158403 Schwarz criterion -2.253863
Log likelihood 39.52755 F-statistic 37.97075
Durbin-Watson stat 1.977020 Prob(F-statistic) 0.000001
LE, LEVEL, INTERCEPT & TREND

Null Hypothesis: LE has a unit root


Exogenous: Constant, Linear Trend
Bandwidth: 0 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.076628 0.5392


Test critical values: 1% level -4.262735
5% level -3.552973
10% level -3.209642

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.004273


HAC corrected variance (Bartlett kernel) 0.004273

Phillips-Perron Test Equation


Dependent Variable: D(LE)
Method: Least Squares
Date: 11/15/10 Time: 09:05
Sample (adjusted): 1972 2004
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LE(-1) -0.335001 0.161320 -2.076628 0.0465


C 2.143451 1.003769 2.135402 0.0410
@TREND(1971) 0.015682 0.008131 1.928614 0.0633

R-squared 0.141660 Mean dependent var 0.042584


Adjusted R-squared 0.084437 S.D. dependent var 0.071647
S.E. of regression 0.068556 Akaike info criterion -2.435827
Sum squared resid 0.140997 Schwarz criterion -2.299781
Log likelihood 43.19115 F-statistic 2.475595
Durbin-Watson stat 1.836100 Prob(F-statistic) 0.101132
LE, FIRST DIFF., INTERCEPT & TREND

Null Hypothesis: D(LE) has a unit root


Exogenous: Constant, Linear Trend
Bandwidth: 7 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -6.747230 0.0000


Test critical values: 1% level -4.273277
5% level -3.557759
10% level -3.212361

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.004765


HAC corrected variance (Bartlett kernel) 0.002491

Phillips-Perron Test Equation


Dependent Variable: D(LE,2)
Method: Least Squares
Date: 11/15/10 Time: 09:05
Sample (adjusted): 1973 2004
Included observations: 32 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LE(-1)) -1.157435 0.185812 -6.229054 0.0000


C 0.077243 0.029242 2.641533 0.0132
@TREND(1971) -0.001478 0.001391 -1.062258 0.2969

R-squared 0.575164 Mean dependent var -0.001705


Adjusted R-squared 0.545865 S.D. dependent var 0.107597
S.E. of regression 0.072509 Akaike info criterion -2.321144
Sum squared resid 0.152470 Schwarz criterion -2.183731
Log likelihood 40.13830 F-statistic 19.63082
Durbin-Watson stat 2.033138 Prob(F-statistic) 0.000004
LY, LEVEL, INTERCEPT

Null Hypothesis: LY has a unit root


Exogenous: Constant
Bandwidth: 1 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -1.368575 0.5855


Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.001386


HAC corrected variance (Bartlett kernel) 0.001568

Phillips-Perron Test Equation


Dependent Variable: D(LY)
Method: Least Squares
Date: 11/15/10 Time: 09:19
Sample (adjusted): 1972 2004
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LY(-1) -0.024787 0.017470 -1.418784 0.1659


C 0.231781 0.135488 1.710712 0.0971

R-squared 0.060975 Mean dependent var 0.039787


Adjusted R-squared 0.030683 S.D. dependent var 0.039018
S.E. of regression 0.038415 Akaike info criterion -3.622049
Sum squared resid 0.045747 Schwarz criterion -3.531352
Log likelihood 61.76382 F-statistic 2.012949
Durbin-Watson stat 1.727317 Prob(F-statistic) 0.165938
LY, 1ST DIFF., INTERCEPT

Null Hypothesis: D(LY) has a unit root


Exogenous: Constant
Bandwidth: 2 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -4.636990 0.0008


Test critical values: 1% level -3.653730
5% level -2.957110
10% level -2.617434

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.001462


HAC corrected variance (Bartlett kernel) 0.001286

Phillips-Perron Test Equation


Dependent Variable: D(LY,2)
Method: Least Squares
Date: 11/15/10 Time: 09:20
Sample (adjusted): 1973 2004
Included observations: 32 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LY(-1)) -0.838453 0.179046 -4.682888 0.0001


C 0.032613 0.009945 3.279302 0.0026

R-squared 0.422293 Mean dependent var -0.000552


Adjusted R-squared 0.403036 S.D. dependent var 0.051119
S.E. of regression 0.039496 Akaike info criterion -3.564777
Sum squared resid 0.046798 Schwarz criterion -3.473169
Log likelihood 59.03643 F-statistic 21.92944
Durbin-Watson stat 1.958012 Prob(F-statistic) 0.000057
LY, LEVEL, INTERCEPT & TREND

Null Hypothesis: LY has a unit root


Exogenous: Constant, Linear Trend
Bandwidth: 2 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.153647 0.4984


Test critical values: 1% level -4.262735
5% level -3.552973
10% level -3.209642

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.001255


HAC corrected variance (Bartlett kernel) 0.001559

Phillips-Perron Test Equation


Dependent Variable: D(LY)
Method: Least Squares
Date: 11/15/10 Time: 09:21
Sample (adjusted): 1972 2004
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LY(-1) -0.220046 0.111367 -1.975860 0.0574


C 1.609231 0.787519 2.043418 0.0499
@TREND(1971) 0.007941 0.004477 1.773824 0.0862

R-squared 0.150112 Mean dependent var 0.039787


Adjusted R-squared 0.093453 S.D. dependent var 0.039018
S.E. of regression 0.037150 Akaike info criterion -3.661182
Sum squared resid 0.041404 Schwarz criterion -3.525135
Log likelihood 63.40950 F-statistic 2.649388
Durbin-Watson stat 1.579744 Prob(F-statistic) 0.087181
LY, FIRST DIFF., INTERCEPT & TREND

Null Hypothesis: D(LY) has a unit root


Exogenous: Constant, Linear Trend
Bandwidth: 1 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -4.715023 0.0034


Test critical values: 1% level -4.273277
5% level -3.557759
10% level -3.212361

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.001432


HAC corrected variance (Bartlett kernel) 0.001449

Phillips-Perron Test Equation


Dependent Variable: D(LY,2)
Method: Least Squares
Date: 11/15/10 Time: 09:21
Sample (adjusted): 1973 2004
Included observations: 32 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LY(-1)) -0.869955 0.184713 -4.709759 0.0001


C 0.044493 0.018244 2.438787 0.0211
@TREND(1971) -0.000608 0.000780 -0.778925 0.4423

R-squared 0.434132 Mean dependent var -0.000552


Adjusted R-squared 0.395106 S.D. dependent var 0.051119
S.E. of regression 0.039757 Akaike info criterion -3.522983
Sum squared resid 0.045839 Schwarz criterion -3.385570
Log likelihood 59.36772 F-statistic 11.12434
Durbin-Watson stat 1.943943 Prob(F-statistic) 0.000260
LT, LEVEL, INTERCEPT

Null Hypothesis: LT has a unit root


Exogenous: Constant
Bandwidth: 4 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic 0.347975 0.9774


Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.003821


HAC corrected variance (Bartlett kernel) 0.002906

Phillips-Perron Test Equation


Dependent Variable: D(LT)
Method: Least Squares
Date: 11/15/10 Time: 09:22
Sample (adjusted): 1972 2004
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LT(-1) 0.004342 0.018734 0.231767 0.8182


C -0.019170 0.316813 -0.060509 0.9521

R-squared 0.001730 Mean dependent var 0.054212


Adjusted R-squared -0.030472 S.D. dependent var 0.062825
S.E. of regression 0.063775 Akaike info criterion -2.608217
Sum squared resid 0.126085 Schwarz criterion -2.517519
Log likelihood 45.03557 F-statistic 0.053716
Durbin-Watson stat 1.900847 Prob(F-statistic) 0.818242
LT, 1ST DIFF., INTERCEPT

Null Hypothesis: D(LT) has a unit root


Exogenous: Constant
Bandwidth: 7 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -5.908606 0.0000


Test critical values: 1% level -3.653730
5% level -2.957110
10% level -2.617434

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.003471


HAC corrected variance (Bartlett kernel) 0.002912

Phillips-Perron Test Equation


Dependent Variable: D(LT,2)
Method: Least Squares
Date: 11/15/10 Time: 09:23
Sample (adjusted): 1973 2004
Included observations: 32 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LT(-1)) -1.016699 0.173918 -5.845854 0.0000


C 0.058877 0.014086 4.179716 0.0002

R-squared 0.532521 Mean dependent var 0.005711


Adjusted R-squared 0.516938 S.D. dependent var 0.087551
S.E. of regression 0.060851 Akaike info criterion -2.700329
Sum squared resid 0.111084 Schwarz criterion -2.608721
Log likelihood 45.20527 F-statistic 34.17401
Durbin-Watson stat 1.988742 Prob(F-statistic) 0.000002
LT, LEVEL, INTERCEPT & TREND

Null Hypothesis: LT has a unit root


Exogenous: Constant, Linear Trend
Bandwidth: 1 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.578249 0.2918


Test critical values: 1% level -4.262735
5% level -3.552973
10% level -3.209642

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.003121


HAC corrected variance (Bartlett kernel) 0.003487

Phillips-Perron Test Equation


Dependent Variable: D(LT)
Method: Least Squares
Date: 11/15/10 Time: 09:23
Sample (adjusted): 1972 2004
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LT(-1) -0.278621 0.110497 -2.521524 0.0172


C 4.459966 1.752099 2.545498 0.0163
@TREND(1971) 0.017828 0.006877 2.592468 0.0146

R-squared 0.184440 Mean dependent var 0.054212


Adjusted R-squared 0.130069 S.D. dependent var 0.062825
S.E. of regression 0.058597 Akaike info criterion -2.749759
Sum squared resid 0.103008 Schwarz criterion -2.613713
Log likelihood 48.37102 F-statistic 3.392260
Durbin-Watson stat 1.727668 Prob(F-statistic) 0.046972
LT, FIRST DIFF., INTERCEPT & TREND

Null Hypothesis: D(LT) has a unit root


Exogenous: Constant, Linear Trend
Bandwidth: 7 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -5.792062 0.0002


Test critical values: 1% level -4.273277
5% level -3.557759
10% level -3.212361

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) 0.003471


HAC corrected variance (Bartlett kernel) 0.002911

Phillips-Perron Test Equation


Dependent Variable: D(LT,2)
Method: Least Squares
Date: 11/15/10 Time: 09:24
Sample (adjusted): 1973 2004
Included observations: 32 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LT(-1)) -1.017052 0.177197 -5.739656 0.0000


C 0.058195 0.024785 2.347951 0.0259
@TREND(1971) 4.00E-05 0.001187 0.033735 0.9733

R-squared 0.532539 Mean dependent var 0.005711


Adjusted R-squared 0.500301 S.D. dependent var 0.087551
S.E. of regression 0.061890 Akaike info criterion -2.637869
Sum squared resid 0.111079 Schwarz criterion -2.500456
Log likelihood 45.20590 F-statistic 16.51866
Durbin-Watson stat 1.988282 Prob(F-statistic) 0.000016

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