##
## Augmented Dickey-Fuller Test
##
## data: sp_data1$lnPP
## Dickey-Fuller = -1.7188, Lag order = 5, p-value = 0.6935
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: diff(sp_data1$lnPP)
## Dickey-Fuller = -6.8116, Lag order = 5, p-value = 0.01
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: sp_data1$lnRF
## Dickey-Fuller = -6.5351, Lag order = 5, p-value = 0.01
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: diff(sp_data1$lnRF)
## Dickey-Fuller = -7.8575, Lag order = 5, p-value = 0.01
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: sp_data1$Temp
## Dickey-Fuller = -4.6597, Lag order = 5, p-value = 0.01
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: diff(sp_data1$Temp)
## Dickey-Fuller = -6.707, Lag order = 5, p-value = 0.01
## alternative hypothesis: stationary
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept and trend
##
##
## Call:
## lm(formula = y ~ y.l1 + trend)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2.3349 -0.5840 0.1517 0.5993 1.2293
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 11.231574 0.774538 14.501 < 2e-16 ***
## y.l1 -0.188837 0.081784 -2.309 0.0224 *
## trend 0.008873 0.001520 5.838 3.36e-08 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.7176 on 144 degrees of freedom
## Multiple R-squared: 0.1914, Adjusted R-squared: 0.1802
## F-statistic: 17.04 on 2 and 144 DF, p-value: 2.276e-07
##
##
## Value of test-statistic, type: Z-tau is: -14.6764
##
## aux. Z statistics
## Z-tau-mu 15.7598
## Z-tau-beta 5.8152
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -4.022819 -3.440901 -3.1447
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.9400 -0.9412 0.1669 0.8404 1.9204
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.003559 0.080609 0.044 0.965
## y.l1 -0.505048 0.072271 -6.988 9.56e-11 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.974 on 144 degrees of freedom
## Multiple R-squared: 0.2532, Adjusted R-squared: 0.2481
## F-statistic: 48.84 on 1 and 144 DF, p-value: 9.562e-11
##
##
## Value of test-statistic, type: Z-tau is: -35.8856
##
## aux. Z statistics
## Z-tau-mu 0.058
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.475961 -2.881246 -2.577159
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2.09755 -0.33880 0.08701 0.42361 1.63715
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 3.72005 0.47196 7.882 7.04e-13 ***
## y.l1 0.40186 0.07564 5.313 3.98e-07 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.6133 on 145 degrees of freedom
## Multiple R-squared: 0.163, Adjusted R-squared: 0.1572
## F-statistic: 28.23 on 1 and 145 DF, p-value: 3.979e-07
##
##
## Value of test-statistic, type: Z-tau is: -7.8371
##
## aux. Z statistics
## Z-tau-mu 7.8119
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.475663 -2.881113 -2.57709
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.94169 -0.51454 -0.00501 0.37192 2.48176
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.01979 0.05818 0.340 0.73426
## y.l1 -0.26203 0.07957 -3.293 0.00125 **
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.7029 on 144 degrees of freedom
## Multiple R-squared: 0.07003, Adjusted R-squared: 0.06357
## F-statistic: 10.84 on 1 and 144 DF, p-value: 0.001248
##
##
## Value of test-statistic, type: Z-tau is: -18.8196
##
## aux. Z statistics
## Z-tau-mu 0.3895
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.475961 -2.881246 -2.577159
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2.22489 -0.54975 -0.09724 0.40081 2.32595
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 20.66287 2.19513 9.413 < 2e-16 ***
## y.l1 0.24860 0.07982 3.114 0.00222 **
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.8506 on 145 degrees of freedom
## Multiple R-squared: 0.0627, Adjusted R-squared: 0.05624
## F-statistic: 9.7 on 1 and 145 DF, p-value: 0.002222
##
##
## Value of test-statistic, type: Z-tau is: -9.5984
##
## aux. Z statistics
## Z-tau-mu 9.5978
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.475663 -2.881113 -2.57709
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -2.1988 -0.6654 -0.3213 0.7245 2.7363
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.003824 0.082331 -0.046 0.963
## y.l1 -0.337751 0.076548 -4.412 1.99e-05 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.9947 on 144 degrees of freedom
## Multiple R-squared: 0.1191, Adjusted R-squared: 0.113
## F-statistic: 19.47 on 1 and 144 DF, p-value: 1.992e-05
##
##
## Value of test-statistic, type: Z-tau is: -22.8674
##
## aux. Z statistics
## Z-tau-mu -0.0305
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.475961 -2.881246 -2.577159