CSE Monthly (level data)

Null Hypothesis: CSE has a unit root

Exogenous: Constant
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.872079 0.0592

Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300

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

Residual variance (no correction) 349951.7

HAC corrected variance (Bartlett kernel) 349951.7

Phillips-Perron Test Equation

Dependent Variable: D(CSE)
Method: Least Squares
Date: 05/29/17 Time: 00:37
Sample (adjusted): 2014M02 2016M11
Included observations: 34 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

CSE(-1) -0.454071 0.158098 -2.872079 0.0072

C 6452.826 2240.942 2.879515 0.0070

R-squared 0.204946 Mean dependent var 23.67530

Adjusted R-squared 0.180101 S.D. dependent var 673.4234
S.E. of regression 609.7735 Akaike info criterion 15.72107
Sum squared resid 11898357 Schwarz criterion 15.81086
Log likelihood -265.2583 Hannan-Quinn criter. 15.75169
F-statistic 8.248836 Durbin-Watson stat 1.766886
Prob(F-statistic) 0.007180
CSE monthly (1st Differenced)
Null Hypothesis: D(CSE) has a unit root
Exogenous: Constant
Bandwidth: 5 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -6.838861 0.0000

Test critical values: 1% level -3.646342
5% level -2.954021
10% level -2.615817

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

Residual variance (no correction) 420766.2

HAC corrected variance (Bartlett kernel) 290877.9

Phillips-Perron Test Equation

Dependent Variable: D(CSE,2)
Method: Least Squares
Date: 05/29/17 Time: 00:58
Sample (adjusted): 2014M03 2016M11
Included observations: 33 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(CSE(-1)) -1.152105 0.175787 -6.553966 0.0000

C 49.92675 116.5050 0.428537 0.6712

R-squared 0.580823 Mean dependent var 46.24306

Adjusted R-squared 0.567301 S.D. dependent var 1017.428
S.E. of regression 669.2626 Akaike info criterion 15.90892
Sum squared resid 13885284 Schwarz criterion 15.99962
Log likelihood -260.4972 Hannan-Quinn criter. 15.93944
F-statistic 42.95447 Durbin-Watson stat 1.978649
Prob(F-statistic) 0.000000
DSE monthly (Level data)
Null Hypothesis: DSE has a unit root
Exogenous: Constant
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.841538 0.0628

Test critical values: 1% level -3.632900
5% level -2.948404
10% level -2.612874

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

Residual variance (no correction) 35759.25

HAC corrected variance (Bartlett kernel) 35759.25

Phillips-Perron Test Equation

Dependent Variable: D(DSE)
Method: Least Squares
Date: 05/29/17 Time: 01:01
Sample (adjusted): 2014M02 2016M12
Included observations: 35 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DSE(-1) -0.437368 0.153919 -2.841538 0.0076

C 2025.328 710.6759 2.849861 0.0075

R-squared 0.196579 Mean dependent var 8.082286

Adjusted R-squared 0.172233 S.D. dependent var 214.0509
S.E. of regression 194.7472 Akaike info criterion 13.43673
Sum squared resid 1251574. Schwarz criterion 13.52560
Log likelihood -233.1427 Hannan-Quinn criter. 13.46741
F-statistic 8.074340 Durbin-Watson stat 1.805151
Prob(F-statistic) 0.007639
DSE monthly (1st differenced)
Null Hypothesis: D(DSE) has a unit root
Exogenous: Constant
Bandwidth: 4 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -6.460505 0.0000

Test critical values: 1% level -3.639407
5% level -2.951125
10% level -2.614300

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

Residual variance (no correction) 45044.55

HAC corrected variance (Bartlett kernel) 34757.70

Phillips-Perron Test Equation

Dependent Variable: D(DSE,2)
Method: Least Squares
Date: 05/29/17 Time: 01:03
Sample (adjusted): 2014M03 2016M12
Included observations: 34 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(DSE(-1)) -1.131838 0.178334 -6.346738 0.0000

C 8.603454 37.51941 0.229307 0.8201

R-squared 0.557284 Mean dependent var 7.003235

Adjusted R-squared 0.543449 S.D. dependent var 323.7733
S.E. of regression 218.7689 Akaike info criterion 13.67093
Sum squared resid 1531515. Schwarz criterion 13.76072
Log likelihood -230.4058 Hannan-Quinn criter. 13.70155
F-statistic 40.28109 Durbin-Watson stat 1.939229
Prob(F-statistic) 0.000000
CSE weekly (Level data)
Null Hypothesis: CSE has a unit root
Exogenous: Constant
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.565231 0.1027

Test critical values: 1% level -3.476472
5% level -2.881685
10% level -2.577591

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

Residual variance (no correction) 61290.89

HAC corrected variance (Bartlett kernel) 90454.71

Phillips-Perron Test Equation

Dependent Variable: D(CSE)
Method: Least Squares
Date: 05/29/17 Time: 01:09
Sample (adjusted): 1/08/2014 9/28/2016
Included observations: 143 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

CSE(-1) -0.064409 0.031265 -2.060129 0.0412

C 930.6121 445.0777 2.090898 0.0383

R-squared 0.029221 Mean dependent var 14.70130

Adjusted R-squared 0.022336 S.D. dependent var 252.1515
S.E. of regression 249.3196 Akaike info criterion 13.88924
Sum squared resid 8764597. Schwarz criterion 13.93067
Log likelihood -991.0803 Hannan-Quinn criter. 13.90607
F-statistic 4.244131 Durbin-Watson stat 1.430825
Prob(F-statistic) 0.041225
CSE weekly (1st differences)
Null Hypothesis: D(CSE) has a unit root
Exogenous: Constant
Bandwidth: 6 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -9.030278 0.0000

Test critical values: 1% level -3.476805
5% level -2.881830
10% level -2.577668

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

Residual variance (no correction) 58958.68

HAC corrected variance (Bartlett kernel) 53283.84

Phillips-Perron Test Equation

Dependent Variable: D(CSE,2)
Method: Least Squares
Date: 05/29/17 Time: 01:11
Sample (adjusted): 1/15/2014 9/28/2016
Included observations: 142 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(CSE(-1)) -0.745637 0.081594 -9.138358 0.0000

C 9.421610 20.54976 0.458478 0.6473

R-squared 0.373629 Mean dependent var -0.417113

Adjusted R-squared 0.369155 S.D. dependent var 307.8879
S.E. of regression 244.5423 Akaike info criterion 13.85064
Sum squared resid 8372133. Schwarz criterion 13.89227
Log likelihood -981.3953 Hannan-Quinn criter. 13.86756
F-statistic 83.50958 Durbin-Watson stat 2.043056
Prob(F-statistic) 0.000000
CSE daily (level data):
Null Hypothesis: CSE has a unit root
Exogenous: Constant
Bandwidth: 11 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.544113 0.1055

Test critical values: 1% level -3.439192
5% level -2.865332
10% level -2.568846

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

Residual variance (no correction) 9071.678

HAC corrected variance (Bartlett kernel) 17257.93

Phillips-Perron Test Equation

Dependent Variable: D(CSE)
Method: Least Squares
Date: 05/29/17 Time: 01:24
Sample (adjusted): 1/02/2014 12/23/2015
Included observations: 721 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

CSE(-1) -0.009471 0.005522 -1.715200 0.0867

C 137.4723 78.52982 1.750574 0.0804

R-squared 0.004075 Mean dependent var 2.915791

Adjusted R-squared 0.002690 S.D. dependent var 95.50627
S.E. of regression 95.37773 Akaike info criterion 11.95634
Sum squared resid 6540680. Schwarz criterion 11.96904
Log likelihood -4308.260 Hannan-Quinn criter. 11.96124
F-statistic 2.941909 Durbin-Watson stat 1.541567
Prob(F-statistic) 0.086740
CSE daily (1st differences):
Null Hypothesis: D(CSE) has a unit root
Exogenous: Constant
Bandwidth: 8 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -21.75425 0.0000

Test critical values: 1% level -3.439205
5% level -2.865338
10% level -2.568849

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

Residual variance (no correction) 8654.628

HAC corrected variance (Bartlett kernel) 10074.74

Phillips-Perron Test Equation

Dependent Variable: D(CSE,2)
Method: Least Squares
Date: 05/29/17 Time: 01:25
Sample (adjusted): 1/03/2014 12/23/2015
Included observations: 720 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(CSE(-1)) -0.775279 0.036352 -21.32690 0.0000

C 2.353635 3.473474 0.677603 0.4982

R-squared 0.387809 Mean dependent var 0.094569

Adjusted R-squared 0.386956 S.D. dependent var 118.9824
S.E. of regression 93.15973 Akaike info criterion 11.90928
Sum squared resid 6231332. Schwarz criterion 11.92200
Log likelihood -4285.342 Hannan-Quinn criter. 11.91419
F-statistic 454.8366 Durbin-Watson stat 2.003229
Prob(F-statistic) 0.000000
DSE daily (Level data):
Null Hypothesis: DSE has a unit root
Exogenous: Constant
Bandwidth: 11 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.583349 0.0969

Test critical values: 1% level -3.439192
5% level -2.865332
10% level -2.568846

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

Residual variance (no correction) 981.2675

HAC corrected variance (Bartlett kernel) 1816.701

Phillips-Perron Test Equation

Dependent Variable: D(DSE)
Method: Least Squares
Date: 05/29/17 Time: 01:27
Sample (adjusted): 1/02/2014 12/23/2015
Included observations: 721 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DSE(-1) -0.010073 0.005611 -1.795422 0.0730

C 47.52552 25.93899 1.832204 0.0673

R-squared 0.004463 Mean dependent var 1.001331

Adjusted R-squared 0.003079 S.D. dependent var 31.41713
S.E. of regression 31.36873 Akaike info criterion 9.732270
Sum squared resid 707493.9 Schwarz criterion 9.744976
Log likelihood -3506.483 Hannan-Quinn criter. 9.737175
F-statistic 3.223542 Durbin-Watson stat 1.592483
Prob(F-statistic) 0.073006
DSE daily (1st differences):
Null Hypothesis: D(DSE) has a unit root
Exogenous: Constant
Bandwidth: 9 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -22.38766 0.0000

Test critical values: 1% level -3.439205
5% level -2.865338
10% level -2.568849

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

Residual variance (no correction) 947.4514

HAC corrected variance (Bartlett kernel) 1133.688

Phillips-Perron Test Equation

Dependent Variable: D(DSE,2)
Method: Least Squares
Date: 05/29/17 Time: 01:27
Sample (adjusted): 1/03/2014 12/23/2015
Included observations: 720 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(DSE(-1)) -0.800973 0.036565 -21.90546 0.0000

C 0.830053 1.149297 0.722227 0.4704

R-squared 0.400592 Mean dependent var 0.035944

Adjusted R-squared 0.399758 S.D. dependent var 39.78498
S.E. of regression 30.82354 Akaike info criterion 9.697208
Sum squared resid 682165.0 Schwarz criterion 9.709928
Log likelihood -3488.995 Hannan-Quinn criter. 9.702119
F-statistic 479.8493 Durbin-Watson stat 2.007201
Prob(F-statistic) 0.000000

DSE Weekly (level data):

Null Hypothesis: DSE has a unit root
Exogenous: Constant
Bandwidth: 2 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -2.473617 0.1241

Test critical values: 1% level -3.476472
5% level -2.881685
10% level -2.577591

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

Residual variance (no correction) 6476.938

HAC corrected variance (Bartlett kernel) 9225.481

Phillips-Perron Test Equation

Dependent Variable: D(DSE)
Method: Least Squares
Date: 05/29/17 Time: 01:13
Sample (adjusted): 1/08/2014 9/28/2016
Included observations: 143 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

DSE(-1) -0.063163 0.031561 -2.001279 0.0473

C 296.4991 146.1169 2.029191 0.0443

R-squared 0.027621 Mean dependent var 4.393147

Adjusted R-squared 0.020724 S.D. dependent var 81.90131
S.E. of regression 81.04819 Akaike info criterion 11.64185
Sum squared resid 926202.2 Schwarz criterion 11.68329
Log likelihood -830.3924 Hannan-Quinn criter. 11.65869
F-statistic 4.005118 Durbin-Watson stat 1.498791
Prob(F-statistic) 0.047282

DSE weekly (1st differences):

Null Hypothesis: D(DSE) has a unit root
Exogenous: Constant
Bandwidth: 5 (Newey-West automatic) using Bartlett kernel

Adj. t-Stat Prob.*

Phillips-Perron test statistic -9.465911 0.0000

Test critical values: 1% level -3.476805
5% level -2.881830
10% level -2.577668

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

Residual variance (no correction) 6314.367

HAC corrected variance (Bartlett kernel) 5913.311

Phillips-Perron Test Equation

Dependent Variable: D(DSE,2)
Method: Least Squares
Date: 05/29/17 Time: 01:14
Sample (adjusted): 1/15/2014 9/28/2016
Included observations: 142 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(DSE(-1)) -0.783670 0.082244 -9.528628 0.0000

C 2.802440 6.723369 0.416821 0.6774

R-squared 0.393400 Mean dependent var -0.226831

Adjusted R-squared 0.389068 S.D. dependent var 102.3879
S.E. of regression 80.02857 Akaike info criterion 11.61663
Sum squared resid 896640.2 Schwarz criterion 11.65826
Log likelihood -822.7807 Hannan-Quinn criter. 11.63355
F-statistic 90.79476 Durbin-Watson stat 2.041950
Prob(F-statistic) 0.000000