Null Hypothesis: SP500 has a unit root

Exogenous: None

Lag Length: 12 (Automatic based on SIC, MAXLAG=12)

t-Statistic

  Prob.*

Augmented Dickey-Fuller test statistic

2.335965

0.9953

Test critical values:

1% level

-2.583898

5% level

-1.943449

10% level

-1.614997

Variable

Coefficient

Std. Error

t-Statistic

Prob.  

SP500(-1)

0.296977

0.127132

2.335965

0.0213

D(SP500(-1))

0.487464

0.189261

2.575622

0.0113

D(SP500(-2))

-0.527680

0.192366

-2.743104

0.0071