Null Hypothesis: D(UR) has a unit root Exogenous: Constant Bandwidth: 1 (Newey-West automatic) using Bartlett kernel Adj. t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. Residual variance (no correction) HAC corrected variance (Bartlett kernel) Phillips-Perron Test Equation Dependent Variable: D(UR,2) Method: Least Squares Date: 10/30/22 Time: 12:15 Sample (adjusted): 1993 2021 Included observations: 29 after adjustments Variable D(UR(-1)) с R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient Std. Error -5.759070 -3.679322 -2.967767 -2.622989 t-Statistic -0.968343 0.169238 -5.721785 -4.865252 4.736333 -1.027219 0.548033 Mean dependent var 0.531293 S.D. dependent var 25.37571 Akaike info criterion 17386.01 Schwarz criterion -133.8930 Hannan-Quinn criter. Prob.* 0.0000 599.5177 559.6867 Prob. 0.0000 0.3134 -2.130192 37.06529 9.371934 9.466230 9.401466
Null Hypothesis: D(UR) has a unit root Exogenous: Constant Bandwidth: 1 (Newey-West automatic) using Bartlett kernel Adj. t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. Residual variance (no correction) HAC corrected variance (Bartlett kernel) Phillips-Perron Test Equation Dependent Variable: D(UR,2) Method: Least Squares Date: 10/30/22 Time: 12:15 Sample (adjusted): 1993 2021 Included observations: 29 after adjustments Variable D(UR(-1)) с R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient Std. Error -5.759070 -3.679322 -2.967767 -2.622989 t-Statistic -0.968343 0.169238 -5.721785 -4.865252 4.736333 -1.027219 0.548033 Mean dependent var 0.531293 S.D. dependent var 25.37571 Akaike info criterion 17386.01 Schwarz criterion -133.8930 Hannan-Quinn criter. Prob.* 0.0000 599.5177 559.6867 Prob. 0.0000 0.3134 -2.130192 37.06529 9.371934 9.466230 9.401466
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
Interpret the generated results at 5% level of significance.

Transcribed Image Text:Null Hypothesis: D(UR) has a unit root
Exogenous: Constant
Bandwidth: 1 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat
Phillips-Perron test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction)
HAC corrected variance (Bartlett kernel)
Phillips-Perron Test Equation
Dependent Variable: D(UR,2)
Method: Least Squares
Date: 10/30/22 Time: 12:15
Sample (adjusted): 1993 2021
Included observations: 29 after adjustments
Variable
D(UR(-1))
с
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Coefficient
Std. Error
-5.759070
-3.679322
-2.967767
-2.622989
t-Statistic
-0.968343
0.169238 -5.721785
-4.865252 4.736333 -1.027219
0.548033 Mean dependent var
0.531293
S.D. dependent var
25.37571 Akaike info criterion
17386.01 Schwarz criterion
-133.8930
Hannan-Quinn criter.
Prob.*
0.0000
599.5177
559.6867
Prob.
0.0000
0.3134
-2.130192
37.06529
9.371934
9.466230
9.401466
Expert Solution

Step 1
From the first table, we see that the p-value of Phillips-Perron test is 0.0000 which is less than 0.05 level of significance.
So we reject null hypothesis hence D(UR) do not have a unit root.
Step by step
Solved in 2 steps
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