Null Hypothesis: Y has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 4 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.556983 0.0616

Test critical values: 1% level -4.532598
5% level -3.673616
10% level -3.277364

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

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 19

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(Y)
Method: Least Squares
Date: 09/30/19 Time: 21:19
Sample (adjusted): 2002Q2 2006Q4
Included observations: 19 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

Y(-1) -1.943099 0.546277 -3.556983 0.0039

D(Y(-1)) 1.207733 0.478301 2.525050 0.0267
D(Y(-2)) 0.615217 0.360304 1.707492 0.1134
D(Y(-3)) 0.125107 0.269445 0.464315 0.6507
D(Y(-4)) 0.783545 0.204934 3.823405 0.0024
C 55.52613 14.74593 3.765522 0.0027
@TREND("2001Q1") 3.810961 1.067982 3.568376 0.0039

R-squared 0.974580 Mean dependent var 1.684211

Adjusted R-squared 0.961871 S.D. dependent var 10.46716
S.E. of regression 2.043897 Akaike info criterion 4.544904
Sum squared resid 50.13020 Schwarz criterion 4.892855
Log likelihood -36.17659 Hannan-Quinn criter. 4.603791
F-statistic 76.67932 Durbin-Watson stat 1.987826
Prob(F-statistic) 0.000000
Null Hypothesis: Y has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 4 (Automatic - based on SIC, maxlag=5)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -3.556983 0.0616

Test critical values: 1% level -4.532598
5% level -3.673616
10% level -3.277364

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

Warning: Probabilities and critical values calculated for 20 observations
and may not be accurate for a sample size of 19

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(Y)
Method: Least Squares
Date: 09/30/19 Time: 21:22
Sample (adjusted): 2002Q2 2006Q4
Included observations: 19 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

Y(-1) -1.943099 0.546277 -3.556983 0.0039

D(Y(-1)) 1.207733 0.478301 2.525050 0.0267
D(Y(-2)) 0.615217 0.360304 1.707492 0.1134
D(Y(-3)) 0.125107 0.269445 0.464315 0.6507
D(Y(-4)) 0.783545 0.204934 3.823405 0.0024
C 55.52613 14.74593 3.765522 0.0027
@TREND("2001Q1") 3.810961 1.067982 3.568376 0.0039

R-squared 0.974580 Mean dependent var 1.684211

Adjusted R-squared 0.961871 S.D. dependent var 10.46716
S.E. of regression 2.043897 Akaike info criterion 4.544904
Sum squared resid 50.13020 Schwarz criterion 4.892855
Log likelihood -36.17659 Hannan-Quinn criter. 4.603791
F-statistic 76.67932 Durbin-Watson stat 1.987826
Prob(F-statistic) 0.000000
 4

2
Quantiles of Normal

-1

-2

-3

-4
-4 -3 -2 -1 0 1 2 3 4

Quantiles of RESID

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 13.08359 Prob. F(2,20) 0.0002

Obs*R-squared 13.60300 Prob. Chi-Square(2) 0.0011

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 09/30/19 Time: 21:31
Sample: 2001Q1 2006Q4
Included observations: 24
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

X -0.151857 0.540370 -0.281024 0.7816

C 305.3553 1088.032 0.280649 0.7819
RESID(-1) -0.063238 0.148877 -0.424765 0.6755
RESID(-2) -0.889173 0.174529 -5.094698 0.0001

R-squared 0.566792 Mean dependent var 9.09E-13

Adjusted R-squared 0.501811 S.D. dependent var 6.390834
S.E. of regression 4.510813 Akaike info criterion 6.001843
Sum squared resid 406.9486 Schwarz criterion 6.198186
Log likelihood -68.02212 Hannan-Quinn criter. 6.053933
F-statistic 8.722392 Durbin-Watson stat 2.726219
Prob(F-statistic) 0.000670
Breusch-Godfrey Serial Correlation LM Test:

F-statistic 13.08359 Prob. F(2,20) 0.0002

Obs*R-squared 13.60300 Prob. Chi-Square(2) 0.0011

Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 09/30/19 Time: 21:34
Sample: 2001Q1 2006Q4
Included observations: 24
Presample missing value lagged residuals set to zero.

Variable Coefficient Std. Error t-Statistic Prob.

X -0.151857 0.540370 -0.281024 0.7816

C 305.3553 1088.032 0.280649 0.7819
RESID(-1) -0.063238 0.148877 -0.424765 0.6755
RESID(-2) -0.889173 0.174529 -5.094698 0.0001

R-squared 0.566792 Mean dependent var 9.09E-13

Adjusted R-squared 0.501811 S.D. dependent var 6.390834
S.E. of regression 4.510813 Akaike info criterion 6.001843
Sum squared resid 406.9486 Schwarz criterion 6.198186
Log likelihood -68.02212 Hannan-Quinn criter. 6.053933
F-statistic 8.722392 Durbin-Watson stat 2.726219
Prob(F-statistic) 0.000670