Industrial production and market capitalization

IP
175

150

125

100

75

1995 2000 2005

5000 mc

4000

3000

2000

1000

1995 2000 2005

 Descriptive statistics of Industrial production and market capitalization

IP MC IP_1 MC_1 DIP DMC

Mean 111.8736 1209.029 111.2403 1178.448 0.633316 30.58145
Median 106.3320 667.2737 106.1960 665.2700 1.126000 13.68761
Maximum 179.0500 5428.439 179.0500 5304.948 19.38340 1151.717
Minimum 64.05450 443.7866 64.05450 443.7866 -19.74200 -648.4120
Std. Dev. 29.65401 1065.242 29.29256 1011.799 7.834351 159.6012
Skewness 0.645639 2.295353 0.649909 2.307531 -0.111875 1.979666
Kurtosis 2.374258 8.213400 2.386976 8.440256 2.830140 20.10214
Jarque-Bera 13.64057 319.6836 13.68279 337.1806 0.522823 2041.557
Probability 0.001091 0.000000 0.001069 0.000000 0.769964 0.000000
Sum 17787.90 192235.7 17687.20 187373.2 100.6973 4862.451
Sum Sq. Dev. 138938.9 1.79E+08 135572.5 1.62E+08 9697.574 4024662.
Observations 159 159 159 159 159 159

Correlation Matrix of Industrial production and market capitalization

IP MC IP_1 MC_1 DIP DMC

IP 1.000000
MC 0.719132 1.000000
IP_1 0.964746 0.718097 1.000000
MC_1 0.712701 0.989508 0.710322 1.000000
DIP 0.177952 0.037051 -0.087305 0.041778 1.000000
DMC 0.281576 0.401368 0.289748 0.264829 -0.017564 1.000000
Descriptive statistics

LIP LMC
Mean 4.681954 6.844746
Median 4.665926 6.501697
Maximum 5.187665 8.599407
Minimum 4.159734 6.095344
Std. Dev. 0.257367 0.645934
Skewness 0.278861 1.032934
Kurtosis 2.081406 3.083408

Jarque-Bera 7.699131 28.49845

Probability 0.021289 0.000001

Sum 749.1126 1095.159

Sum Sq. Dev. 10.53183 66.33967

Observations 160 160

Correlation matrix

LIP LMC
LIP 1.000000 0.686163
LMC 0.686163 1.000000

ADF
Unit root test: LIP with level and Intercept

Null Hypothesis: LIP has a unit root

Exogenous: Constant
Lag Length: 10 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 1.005891 0.9966

Test critical values: 1% level -3.474567
5% level -2.880853
10% level -2.577147

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LIP)
Method: Least Squares
Date: 02/27/11 Time: 12:13
Sample (adjusted): 1995M11 2008M03
Included observations: 149 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LIP(-1) 0.020014 0.019897 1.005891 0.3162

D(LIP(-1)) -0.480608 0.081042 -5.930393 0.0000
D(LIP(-2)) -0.501376 0.081573 -6.146334 0.0000
D(LIP(-3)) -0.557185 0.088250 -6.313701 0.0000
D(LIP(-4)) -0.495814 0.095030 -5.217426 0.0000
D(LIP(-5)) -0.457998 0.100600 -4.552645 0.0000
D(LIP(-6)) -0.268506 0.099107 -2.709243 0.0076
D(LIP(-7)) -0.346829 0.093913 -3.693090 0.0003
D(LIP(-8)) -0.273538 0.085793 -3.188350 0.0018
D(LIP(-9)) -0.338769 0.078938 -4.291593 0.0000
D(LIP(-10)) -0.373344 0.075650 -4.935126 0.0000
C -0.065694 0.092616 -0.709318 0.4793

R-squared 0.439378 Mean dependent var 0.006883

Adjusted R-squared 0.394364 S.D. dependent var 0.071073
S.E. of regression 0.055311 Akaike info criterion -2.874586
Sum squared resid 0.419123 Schwarz criterion -2.632658
Log likelihood 226.1567 F-statistic 9.761035
Durbin-Watson stat 2.403155 Prob(F-statistic) 0.000000
Unit root test: LIP with 1st diff. and Intercept

Null Hypothesis: D(LIP) has a unit root

Exogenous: Constant
Lag Length: 10 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -12.12776 0.0000

Test critical values: 1% level -3.474874
5% level -2.880987
10% level -2.577219

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LIP,2)
Method: Least Squares
Date: 02/27/11 Time: 12:14
Sample (adjusted): 1995M12 2008M03
Included observations: 148 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LIP(-1)) -7.347876 0.605872 -12.12776 0.0000

D(LIP(-1),2) 5.687684 0.564084 10.08305 0.0000
D(LIP(-2),2) 5.020628 0.521695 9.623686 0.0000
D(LIP(-3),2) 4.354436 0.477753 9.114407 0.0000
D(LIP(-4),2) 3.715713 0.424445 8.754291 0.0000
D(LIP(-5),2) 3.148501 0.366102 8.600076 0.0000
D(LIP(-6),2) 2.681654 0.299420 8.956172 0.0000
D(LIP(-7),2) 2.144646 0.236917 9.052294 0.0000
D(LIP(-8),2) 1.614235 0.173966 9.279032 0.0000
D(LIP(-9),2) 1.056844 0.120952 8.737720 0.0000
D(LIP(-10),2) 0.482114 0.070916 6.798405 0.0000
C 0.040354 0.005088 7.930765 0.0000

R-squared 0.806186 Mean dependent var -0.000309

Adjusted R-squared 0.790509 S.D. dependent var 0.105096
S.E. of regression 0.048102 Akaike info criterion -3.153366
Sum squared resid 0.314682 Schwarz criterion -2.910349
Log likelihood 245.3491 F-statistic 51.42748
Durbin-Watson stat 1.696514 Prob(F-statistic) 0.000000
Unit root test: LIP with Level and Trend & Intercept

Null Hypothesis: LIP has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -7.552079 0.0000

Test critical values: 1% level -4.017185
5% level -3.438515
10% level -3.143558

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LIP)
Method: Least Squares
Date: 02/27/11 Time: 12:15
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LIP(-1) -0.584143 0.077349 -7.552079 0.0000

D(LIP(-1)) 0.195068 0.078539 2.483705 0.0141
C 2.484691 0.328994 7.552398 0.0000
@TREND(1994M12) 0.003151 0.000425 7.422169 0.0000

R-squared 0.277540 Mean dependent var 0.005054

Adjusted R-squared 0.263466 S.D. dependent var 0.072982
S.E. of regression 0.062634 Akaike info criterion -2.678031
Sum squared resid 0.604142 Schwarz criterion -2.600496
Log likelihood 215.5644 F-statistic 19.72019
Durbin-Watson stat 2.024405 Prob(F-statistic) 0.000000
Unit root test: LIP with 1st diff. and Trend & Intercept

Null Hypothesis: D(LIP) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 10 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -12.50108 0.0000

Test critical values: 1% level -4.021254
5% level -3.440471
10% level -3.144707

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LIP,2)
Method: Least Squares
Date: 02/27/11 Time: 12:15
Sample (adjusted): 1995M12 2008M03
Included observations: 148 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LIP(-1)) -7.629953 0.610344 -12.50108 0.0000

D(LIP(-1),2) 5.954583 0.568645 10.47152 0.0000
D(LIP(-2),2) 5.269966 0.526149 10.01611 0.0000
D(LIP(-3),2) 4.580663 0.481633 9.510690 0.0000
D(LIP(-4),2) 3.913823 0.427624 9.152496 0.0000
D(LIP(-5),2) 3.316145 0.368546 8.997907 0.0000
D(LIP(-6),2) 2.813940 0.300988 9.349025 0.0000
D(LIP(-7),2) 2.241928 0.237530 9.438495 0.0000
D(LIP(-8),2) 1.681345 0.174072 9.658905 0.0000
D(LIP(-9),2) 1.097440 0.120588 9.100775 0.0000
D(LIP(-10),2) 0.500801 0.070394 7.114258 0.0000
C 0.023978 0.008877 2.700986 0.0078
@TREND(1994M12) 0.000209 9.34E-05 2.235571 0.0270

R-squared 0.813105 Mean dependent var -0.000309

Adjusted R-squared 0.796492 S.D. dependent var 0.105096
S.E. of regression 0.047411 Akaike info criterion -3.176204
Sum squared resid 0.303448 Schwarz criterion -2.912936
Log likelihood 248.0391 F-statistic 48.94410
Durbin-Watson stat 1.721749 Prob(F-statistic) 0.000000
Unit root test: LMC with level and Intercept

Null Hypothesis: LMC has a unit root

Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.067960 0.9498

Test critical values: 1% level -3.471987
5% level -2.879727
10% level -2.576546

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LMC)
Method: Least Squares
Date: 02/27/11 Time: 12:16
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LMC(-1) -0.000832 0.012247 -0.067960 0.9459

D(LMC(-1)) 0.296223 0.078309 3.782757 0.0002
C 0.016449 0.083834 0.196206 0.8447

R-squared 0.087849 Mean dependent var 0.014954

Adjusted R-squared 0.076079 S.D. dependent var 0.098632
S.E. of regression 0.094806 Akaike info criterion -1.855165
Sum squared resid 1.393165 Schwarz criterion -1.797014
Log likelihood 149.5580 F-statistic 7.463998
Durbin-Watson stat 1.938361 Prob(F-statistic) 0.000804
Unit root test: LMC with 1st diff. and Intercept

Null Hypothesis: D(LMC) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -9.259565 0.0000

Test critical values: 1% level -3.471987
5% level -2.879727
10% level -2.576546

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LMC,2)
Method: Least Squares
Date: 02/27/11 Time: 12:18
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LMC(-1)) -0.704952 0.076132 -9.259565 0.0000

C 0.010775 0.007595 1.418649 0.1580

R-squared 0.354677 Mean dependent var 0.000790

Adjusted R-squared 0.350541 S.D. dependent var 0.117265
S.E. of regression 0.094503 Akaike info criterion -1.867793
Sum squared resid 1.393207 Schwarz criterion -1.829026
Log likelihood 149.5557 F-statistic 85.73954
Durbin-Watson stat 1.937811 Prob(F-statistic) 0.000000
Unit root test: LMC with Level and Trend & Intercept

Null Hypothesis: LMC has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.989574 0.9415

Test critical values: 1% level -4.017185
5% level -3.438515
10% level -3.143558

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LMC)
Method: Least Squares
Date: 02/27/11 Time: 12:18
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LMC(-1) -0.015368 0.015530 -0.989574 0.3239

D(LMC(-1)) 0.296133 0.077986 3.797260 0.0002
C 0.090052 0.096643 0.931800 0.3529
@TREND(1994M12) 0.000320 0.000212 1.512039 0.1326

R-squared 0.101193 Mean dependent var 0.014954

Adjusted R-squared 0.083683 S.D. dependent var 0.098632
S.E. of regression 0.094415 Akaike info criterion -1.857243
Sum squared resid 1.372785 Schwarz criterion -1.779709
Log likelihood 150.7222 F-statistic 5.779379
Durbin-Watson stat 1.937880 Prob(F-statistic) 0.000903
Unit root test: LMC with 1ST diff. and Trend & Intercept

Null Hypothesis: D(LMC) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -9.337983 0.0000

Test critical values: 1% level -4.017185
5% level -3.438515
10% level -3.143558

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LMC,2)
Method: Least Squares
Date: 02/27/11 Time: 12:19
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LMC(-1)) -0.717212 0.076806 -9.337983 0.0000

C -0.004384 0.015256 -0.287377 0.7742
@TREND(1994M12) 0.000190 0.000166 1.145355 0.2538

R-squared 0.360093 Mean dependent var 0.000790

Adjusted R-squared 0.351836 S.D. dependent var 0.117265
S.E. of regression 0.094409 Akaike info criterion -1.863563
Sum squared resid 1.381514 Schwarz criterion -1.805412
Log likelihood 150.2215 F-statistic 43.61138
Durbin-Watson stat 1.931879 Prob(F-statistic) 0.000000

PPT
Unit root test: LIP with level and Intercept
Null Hypothesis: LIP has a unit root
Exogenous: Constant
Bandwidth: 37 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -1.002255 0.7519

Test critical values: 1% level -3.471719
5% level -2.879610
10% level -2.576484

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

Residual variance (no correction) 0.005191

HAC corrected variance (Bartlett kernel) 0.003154

Phillips-Perron Test Equation

Dependent Variable: D(LIP)
Method: Least Squares
Date: 02/27/11 Time: 12:22
Sample (adjusted): 1995M01 2008M03
Included observations: 159 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LIP(-1) -0.033525 0.022617 -1.482294 0.1403

C 0.162074 0.105977 1.529341 0.1282

R-squared 0.013802 Mean dependent var 0.005217

Adjusted R-squared 0.007520 S.D. dependent var 0.072779
S.E. of regression 0.072505 Akaike info criterion -2.397823
Sum squared resid 0.825346 Schwarz criterion -2.359220
Log likelihood 192.6269 F-statistic 2.197196
Durbin-Watson stat 2.144264 Prob(F-statistic) 0.140266

Unit root test: LIP with 1st diff. and Intercept

Null Hypothesis: D(LIP) has a unit root
Exogenous: Constant
Bandwidth: 27 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -25.39566 0.0000

Test critical values: 1% level -3.471987
5% level -2.879727
10% level -2.576546

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

Residual variance (no correction) 0.005246

HAC corrected variance (Bartlett kernel) 0.000535

Phillips-Perron Test Equation

Dependent Variable: D(LIP,2)
Method: Least Squares
Date: 02/27/11 Time: 12:23
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LIP(-1)) -1.094215 0.079702 -13.72883 0.0000

C 0.005532 0.005813 0.951676 0.3427

R-squared 0.547145 Mean dependent var -1.59E-05

Adjusted R-squared 0.544242 S.D. dependent var 0.107968
S.E. of regression 0.072889 Akaike info criterion -2.387171
Sum squared resid 0.828805 Schwarz criterion -2.348404
Log likelihood 190.5865 F-statistic 188.4809
Durbin-Watson stat 2.043149 Prob(F-statistic) 0.000000

Unit root test: LIP with Level and Trend & Intercept
Null Hypothesis: LIP has a unit root
Exogenous: Constant, Linear Trend
Bandwidth: 19 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -7.570513 0.0000

Test critical values: 1% level -4.016806
5% level -3.438334
10% level -3.143451

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

Residual variance (no correction) 0.003989

HAC corrected variance (Bartlett kernel) 0.005121

Phillips-Perron Test Equation

Dependent Variable: D(LIP)
Method: Least Squares
Date: 02/27/11 Time: 12:24
Sample (adjusted): 1995M01 2008M03
Included observations: 159 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LIP(-1) -0.481651 0.068311 -7.050823 0.0000

C 2.051192 0.290833 7.052823 0.0000
@TREND(1994M12) 0.002595 0.000378 6.857132 0.0000

R-squared 0.242209 Mean dependent var 0.005217

Adjusted R-squared 0.232494 S.D. dependent var 0.072779
S.E. of regression 0.063760 Akaike info criterion -2.648694
Sum squared resid 0.634193 Schwarz criterion -2.590790
Log likelihood 213.5711 F-statistic 24.93075
Durbin-Watson stat 1.801722 Prob(F-statistic) 0.000000

Unit root test: LIP with 1st diff. and Trend & Intercept

Null Hypothesis: D(LIP) has a unit root

Exogenous: Constant, Linear Trend
Bandwidth: 26 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -26.06285 0.0000

Test critical values: 1% level -4.017185
5% level -3.438515
10% level -3.143558

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

Residual variance (no correction) 0.005240

HAC corrected variance (Bartlett kernel) 0.000498

Phillips-Perron Test Equation

Dependent Variable: D(LIP,2)
Method: Least Squares
Date: 02/27/11 Time: 12:24
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LIP(-1)) -1.094995 0.079936 -13.69832 0.0000

C 0.001278 0.011796 0.108353 0.9139
@TREND(1994M12) 5.29E-05 0.000128 0.414795 0.6789

R-squared 0.547647 Mean dependent var -1.59E-05

Adjusted R-squared 0.541810 S.D. dependent var 0.107968
S.E. of regression 0.073084 Akaike info criterion -2.375623
Sum squared resid 0.827886 Schwarz criterion -2.317472
Log likelihood 190.6742 F-statistic 93.82630
Durbin-Watson stat 2.044219 Prob(F-statistic) 0.000000

Unit root test: LMC with level and Intercept

Null Hypothesis: LMC has a unit root

Exogenous: Constant
Bandwidth: 5 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic 0.210207 0.9725

Test critical values: 1% level -3.471719
5% level -2.879610
10% level -2.576484

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

Residual variance (no correction) 0.009649

HAC corrected variance (Bartlett kernel) 0.015180

Phillips-Perron Test Equation

Dependent Variable: D(LMC)
Method: Least Squares
Date: 02/27/11 Time: 12:25
Sample (adjusted): 1995M01 2008M03
Included observations: 159 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LMC(-1) 0.010274 0.012431 0.826498 0.4098

C -0.055990 0.085308 -0.656322 0.5126

R-squared 0.004332 Mean dependent var 0.014219

Adjusted R-squared -0.002010 S.D. dependent var 0.098755
S.E. of regression 0.098854 Akaike info criterion -1.777844
Sum squared resid 1.534226 Schwarz criterion -1.739241
Log likelihood 143.3386 F-statistic 0.683098
Durbin-Watson stat 1.421875 Prob(F-statistic) 0.409776

Unit root test: LMC with 1st diff. and Intercept

Null Hypothesis: D(LMC) has a unit root

Exogenous: Constant
Bandwidth: 5 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -9.278593 0.0000

Test critical values: 1% level -3.471987
5% level -2.879727
10% level -2.576546

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

Residual variance (no correction) 0.008818

HAC corrected variance (Bartlett kernel) 0.008942

Phillips-Perron Test Equation

Dependent Variable: D(LMC,2)
Method: Least Squares
Date: 02/27/11 Time: 12:25
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LMC(-1)) -0.704952 0.076132 -9.259565 0.0000

C 0.010775 0.007595 1.418649 0.1580

R-squared 0.354677 Mean dependent var 0.000790

Adjusted R-squared 0.350541 S.D. dependent var 0.117265
S.E. of regression 0.094503 Akaike info criterion -1.867793
Sum squared resid 1.393207 Schwarz criterion -1.829026
Log likelihood 149.5557 F-statistic 85.73954
Durbin-Watson stat 1.937811 Prob(F-statistic) 0.000000

Unit root test: LMC with Level and Trend & Intercept

Null Hypothesis: LMC has a unit root

Exogenous: Constant, Linear Trend
Bandwidth: 5 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -0.858185 0.9570

Test critical values: 1% level -4.016806
5% level -3.438334
10% level -3.143451

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

Residual variance (no correction) 0.009496

HAC corrected variance (Bartlett kernel) 0.014977

Phillips-Perron Test Equation

Dependent Variable: D(LMC)
Method: Least Squares
Date: 02/27/11 Time: 12:26
Sample (adjusted): 1995M01 2008M03
Included observations: 159 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

LMC(-1) -0.005635 0.015931 -0.353739 0.7240

C 0.024972 0.099081 0.252034 0.8013
@TREND(1994M12) 0.000347 0.000219 1.585075 0.1150

R-squared 0.020114 Mean dependent var 0.014219

Adjusted R-squared 0.007551 S.D. dependent var 0.098755
S.E. of regression 0.098381 Akaike info criterion -1.781242
Sum squared resid 1.509908 Schwarz criterion -1.723339
Log likelihood 144.6088 F-statistic 1.601071
Durbin-Watson stat 1.421795 Prob(F-statistic) 0.204976

Unit root test: LMC with 1ST diff. and Trend & Intercept

Null Hypothesis: D(LMC) has a unit root

Exogenous: Constant, Linear Trend
Bandwidth: 4 (Newey-West using Bartlett kernel)

Adj. t-Stat Prob.*

Phillips-Perron test statistic -9.363244 0.0000

Test critical values: 1% level -4.017185
5% level -3.438515
10% level -3.143558

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

Residual variance (no correction) 0.008744

HAC corrected variance (Bartlett kernel) 0.008907

Phillips-Perron Test Equation

Dependent Variable: D(LMC,2)
Method: Least Squares
Date: 02/27/11 Time: 12:26
Sample (adjusted): 1995M02 2008M03
Included observations: 158 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LMC(-1)) -0.717212 0.076806 -9.337983 0.0000

C -0.004384 0.015256 -0.287377 0.7742
@TREND(1994M12) 0.000190 0.000166 1.145355 0.2538

R-squared 0.360093 Mean dependent var 0.000790

Adjusted R-squared 0.351836 S.D. dependent var 0.117265
S.E. of regression 0.094409 Akaike info criterion -1.863563
Sum squared resid 1.381514 Schwarz criterion -1.805412
Log likelihood 150.2215 F-statistic 43.61138
Durbin-Watson stat 1.931879 Prob(F-statistic) 0.000000