At levels
Null Hypothesis: GXAG has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-2.661861
-3.626784
-2.945842
-2.611531
0.0905
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GXAG)
Method: Least Squares
Date: 11/05/19 Time: 00:54
Sample (adjusted): 1982 2017
Included observations: 36 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
GXAG(-1)
C
-0.366872
6.559390
0.137825
3.239124
-2.661861
2.025051
0.0118
0.0508
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.172458
0.148118
15.23849
7895.195
-148.1106
7.085504
0.011781
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
1.208056
16.51020
8.339479
8.427452
8.370184
2.387337
at 1st difference
Null Hypothesis: D(GXAG) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(GXAG,2)
Method: Least Squares
t-Statistic
Prob.*
-7.099887
-3.639407
-2.951125
-2.614300
0.0000
Date: 11/05/19 Time: 00:55
Sample (adjusted): 1984 2017
Included observations: 34 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(GXAG(-1))
D(GXAG(-1),2)
C
-2.011746
0.382685
2.420127
0.283349
0.166355
2.496599
-7.099887
2.300412
0.969370
0.0000
0.0283
0.3399
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.766940
0.751904
14.43402
6458.565
-137.4395
51.00659
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.203529
28.97861
8.261150
8.395828
8.307079
2.125493