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t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -48.32114 0.0001
Test critical values: 1% level -3.432883
5% level -2.862545
10% level -2.567350
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RSH)
Method: Least Squares
Date: 03/15/10 Time: 00:04
Sample (adjusted): 1/06/2000 12/09/2009
Included observations: 2397 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RSH(-1) -0.987517 0.020437 -48.32114 0.0000
C 0.000343 0.000355 0.964977 0.3347
R-squared 0.493650 Mean dependent var -8.27E-06
Adjusted R-squared 0.493439 S.D. dependent var 0.024424
S.E. of regression 0.017383 Akaike info criterion -5.265766
Sum squared resid 0.723728 Schwarz criterion -5.260942
Log likelihood 6313.021 F-statistic 2334.933
Durbin-Watson stat 1.997441 Prob(F-statistic) 0.000000
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