AUGMENTED DICKEY-FULLER TEST FOR UNIT ROOT (LEVEL, TREND AND INTERCEPT)

VARIABLE: INFLATION
Null Hypothesis: INF has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -5.248344 0.0011

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(INF)
Method: Least Squares
Date: 01/16/23 Time: 19:29
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

INF(-1) -1.028140 0.195898 -5.248344 0.0000

C 3.543765 0.895117 3.958994 0.0005
@TREND("1992") -0.071966 0.033958 -2.119296 0.0438

R-squared 0.517426 Mean dependent var -0.078970

Adjusted R-squared 0.480305 S.D. dependent var 1.839168
S.E. of regression 1.325854 Akaike info criterion 3.499688
Sum squared resid 45.70513 Schwarz criterion 3.641133
Log likelihood -47.74548 Hannan-Quinn criter. 3.543987
F-statistic 13.93887 Durbin-Watson stat 1.987420
Prob(F-statistic) 0.000077
VARIABLE: OIL
Null Hypothesis: OIL has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.964729 0.5954

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(OIL)
Method: Least Squares
Date: 01/16/23 Time: 19:29
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

OIL(-1) -0.265435 0.135100 -1.964729 0.0602

C 7.070201 6.153057 1.149055 0.2610
@TREND("1992") 0.508890 0.450347 1.129997 0.2688

R-squared 0.130961 Mean dependent var 1.641034

Adjusted R-squared 0.064112 S.D. dependent var 15.63665
S.E. of regression 15.12710 Akaike info criterion 8.368550
Sum squared resid 5949.558 Schwarz criterion 8.509994
Log likelihood -118.3440 Hannan-Quinn criter. 8.412849
F-statistic 1.959051 Durbin-Watson stat 1.919508
Prob(F-statistic) 0.161254
VARIABLE: UNEMPLOYMENT
Null Hypothesis: UNEMP has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.944346 0.6059

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(UNEMP)
Method: Least Squares
Date: 01/16/23 Time: 19:30
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

UNEMP(-1) -0.334366 0.171968 -1.944346 0.0627

C 0.962220 0.583964 1.647740 0.1114
@TREND("1992") 0.012496 0.008273 1.510428 0.1430

R-squared 0.178926 Mean dependent var 0.030690

Adjusted R-squared 0.115767 S.D. dependent var 0.395365
S.E. of regression 0.371777 Akaike info criterion 0.956650
Sum squared resid 3.593665 Schwarz criterion 1.098095
Log likelihood -10.87143 Hannan-Quinn criter. 1.000949
F-statistic 2.832922 Durbin-Watson stat 1.649211
Prob(F-statistic) 0.077085
VARIABLE: RIR
Null Hypothesis: RIR has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.750791 0.0000

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RIR)
Method: Least Squares
Date: 01/16/23 Time: 19:31
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RIR(-1) -1.283892 0.190184 -6.750791 0.0000

C 6.281113 1.639261 3.831674 0.0007
@TREND("1992") -0.148035 0.079994 -1.850580 0.0756

R-squared 0.636787 Mean dependent var -0.334886

Adjusted R-squared 0.608848 S.D. dependent var 5.565142
S.E. of regression 3.480559 Akaike info criterion 5.429960
Sum squared resid 314.9716 Schwarz criterion 5.571405
Log likelihood -75.73442 Hannan-Quinn criter. 5.474259
F-statistic 22.79171 Durbin-Watson stat 1.975497
Prob(F-statistic) 0.000002
VARIABLE: LIR
Null Hypothesis: LIR has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.426118 0.3595

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LIR)
Method: Least Squares
Date: 01/16/23 Time: 19:31
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LIR(-1) -0.369869 0.152453 -2.426118 0.0225

C 3.504738 1.590934 2.202944 0.0367
@TREND("1992") -0.084110 0.040313 -2.086428 0.0469

R-squared 0.185421 Mean dependent var -0.231640

Adjusted R-squared 0.122761 S.D. dependent var 0.871730
S.E. of regression 0.816471 Akaike info criterion 2.530047
Sum squared resid 17.33226 Schwarz criterion 2.671492
Log likelihood -33.68569 Hannan-Quinn criter. 2.574346
F-statistic 2.959160 Durbin-Watson stat 1.690229
Prob(F-statistic) 0.069524
PHILLIPS-PERRON TEST FOR UNIT ROOT (LEVEL, TREND AND INTERCEPT)
VARIABLE: INFLATION
Null Hypothesis: INF has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -5.248344 0.0011

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Residual variance (no correction) 1.576039

HAC corrected variance (Bartlett kernel) 1.576039

Phillips-Perron Test Equation

Dependent Variable: D(INF)
Method: Least Squares
Date: 01/16/23 Time: 19:33
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

INF(-1) -1.028140 0.195898 -5.248344 0.0000

C 3.543765 0.895117 3.958994 0.0005
@TREND("1992") -0.071966 0.033958 -2.119296 0.0438

R-squared 0.517426 Mean dependent var -0.078970

Adjusted R-squared 0.480305 S.D. dependent var 1.839168
S.E. of regression 1.325854 Akaike info criterion 3.499688
Sum squared resid 45.70513 Schwarz criterion 3.641133
Log likelihood -47.74548 Hannan-Quinn criter. 3.543987
F-statistic 13.93887 Durbin-Watson stat 1.987420
Prob(F-statistic) 0.000077
VARIABLE: OIL
Null Hypothesis: OIL has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -1.976794 0.5891

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Residual variance (no correction) 205.1572

HAC corrected variance (Bartlett kernel) 208.0026

Phillips-Perron Test Equation

Dependent Variable: D(OIL)
Method: Least Squares
Date: 01/16/23 Time: 19:34
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

OIL(-1) -0.265435 0.135100 -1.964729 0.0602

C 7.070201 6.153057 1.149055 0.2610
@TREND("1992") 0.508890 0.450347 1.129997 0.2688

R-squared 0.130961 Mean dependent var 1.641034

Adjusted R-squared 0.064112 S.D. dependent var 15.63665
S.E. of regression 15.12710 Akaike info criterion 8.368550
Sum squared resid 5949.558 Schwarz criterion 8.509994
Log likelihood -118.3440 Hannan-Quinn criter. 8.412849
F-statistic 1.959051 Durbin-Watson stat 1.919508
Prob(F-statistic) 0.161254
VARIABLE: UNEMPLOYMENT
Null Hypothesis: UNEMP has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 6 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -1.641000 0.7511

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Residual variance (no correction) 0.123919

HAC corrected variance (Bartlett kernel) 0.098759

Phillips-Perron Test Equation

Dependent Variable: D(UNEMP)
Method: Least Squares
Date: 01/16/23 Time: 19:34
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

UNEMP(-1) -0.334366 0.171968 -1.944346 0.0627

C 0.962220 0.583964 1.647740 0.1114
@TREND("1992") 0.012496 0.008273 1.510428 0.1430

R-squared 0.178926 Mean dependent var 0.030690

Adjusted R-squared 0.115767 S.D. dependent var 0.395365
S.E. of regression 0.371777 Akaike info criterion 0.956650
Sum squared resid 3.593665 Schwarz criterion 1.098095
Log likelihood -10.87143 Hannan-Quinn criter. 1.000949
F-statistic 2.832922 Durbin-Watson stat 1.649211
Prob(F-statistic) 0.077085
VARIABLE: RIR
Null Hypothesis: RIR has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 3 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -6.648045 0.0000

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Residual variance (no correction) 10.86109

HAC corrected variance (Bartlett kernel) 12.79607

Phillips-Perron Test Equation

Dependent Variable: D(RIR)
Method: Least Squares
Date: 01/16/23 Time: 19:35
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RIR(-1) -1.283892 0.190184 -6.750791 0.0000

C 6.281113 1.639261 3.831674 0.0007
@TREND("1992") -0.148035 0.079994 -1.850580 0.0756

R-squared 0.636787 Mean dependent var -0.334886

Adjusted R-squared 0.608848 S.D. dependent var 5.565142
S.E. of regression 3.480559 Akaike info criterion 5.429960
Sum squared resid 314.9716 Schwarz criterion 5.571405
Log likelihood -75.73442 Hannan-Quinn criter. 5.474259
F-statistic 22.79171 Durbin-Watson stat 1.975497
Prob(F-statistic) 0.000002
VARIABLE: LIR
Null Hypothesis: LIR has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 4 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.393942 0.3747

Test critical values: 1% level -4.309824
5% level -3.574244
10% level -3.221728

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

Residual variance (no correction) 0.597664

HAC corrected variance (Bartlett kernel) 0.575936

Phillips-Perron Test Equation

Dependent Variable: D(LIR)
Method: Least Squares
Date: 01/16/23 Time: 19:35
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LIR(-1) -0.369869 0.152453 -2.426118 0.0225

C 3.504738 1.590934 2.202944 0.0367
@TREND("1992") -0.084110 0.040313 -2.086428 0.0469

R-squared 0.185421 Mean dependent var -0.231640

Adjusted R-squared 0.122761 S.D. dependent var 0.871730
S.E. of regression 0.816471 Akaike info criterion 2.530047
Sum squared resid 17.33226 Schwarz criterion 2.671492
Log likelihood -33.68569 Hannan-Quinn criter. 2.574346
F-statistic 2.959160 Durbin-Watson stat 1.690229
Prob(F-statistic) 0.069524