ADF Test Statistic
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-3.269679
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1% Critical Value*
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-2.6423
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5% Critical Value
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-1.9526
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10% Critical Value
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-1.6216
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*MacKinnon critical values for rejection of hypothesis of a unit
root.
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Augmented Dickey-Fuller Test Equation
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Dependent Variable: D(R)
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Method: Least Squares
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Date: 04/25/05 Time: 16:07
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Sample(adjusted): 1974 2003
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Included observations: 30 after adjusting endpoints
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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R(-1)
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-0.625100
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0.191181
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-3.269679
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0.0029
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D(R(-1))
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0.128582
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0.178718
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0.719472
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0.4778
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R-squared
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0.301131
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Mean dependent var
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0.079903
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Adjusted R-squared
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0.276171
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S.D. dependent var
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1.716059
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S.E. of regression
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1.459991
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Akaike info criterion
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3.659078
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Sum squared resid
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59.68407
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Schwarz criterion
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3.752491
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Log likelihood
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-52.88617
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F-statistic
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12.06472
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Durbin-Watson stat
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1.742579
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Prob(F-statistic)
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0.001689
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