Augmented Dickey-Fuller Test Equation

Dependent Variable: D(R)

Method: Least Squares

Date: 04/20/08   Time: 19:05

Sample (adjusted): 8 3715

Included observations: 3708 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.  

R(-1)

-0.936747

0.037965

-24.67427

0.0000

D(R(-1))

-0.074899

0.035265

-2.123897

0.0337

D(R(-2))

-0.050190

0.032149

-1.561190

0.1186

D(R(-3))

0.006598

0.028337

0.232837

0.8159

D(R(-4))

0.047410

0.023292

2.035477

0.0419

D(R(-5))

0.077983

0.016382

4.760203

0.0000

C

0.000481

0.000383

1.255582

0.2093

R-squared

0.510522

    Mean dependent var

-2.19E-05

Adjusted R-squared

0.509729

    S.D. dependent var

0.033286

S.E. of regression

0.023307

    Akaike info criterion

-4.678242

Sum squared resid

2.010439

    Schwarz criterion

-4.666503

Log likelihood

8680.461

    F-statistic

643.3536

Durbin-Watson stat

1.995505

    Prob(F-statistic)

0.000000