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  • Adf Firstdif Lexchngerate Intercept Trend

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    Naura Pradipta Khairunnisa
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    The Augmented Dickey-Fuller test was performed on the first difference of the log exchange rate (D(LEXCHANGERATE)) to test for the presence of a unit root. The test statistic of -11.29439 is lower than the 1% critical value, so we reject the null hypothesis that D(LEXCHANGERATE) has a unit root. Therefore, the results show that the first difference of the log exchange rate is stationary.

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    ADF FIRSTDIF LEXCHNGERATE INTERCEPT TREND

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    The Augmented Dickey-Fuller test was performed on the first difference of the log exchange rate (D(LEXCHANGERATE)) to test for the presence of a unit root. The test statistic of -11.29439 is lower than the 1% critical value, so we reject the null hypothesis that D(LEXCHANGERATE) has a unit root. Therefore, the results show that the first difference of the log exchange rate is stationary.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    4 views1 page

    Adf Firstdif Lexchngerate Intercept Trend

    Uploaded by

    Naura Pradipta Khairunnisa
    The Augmented Dickey-Fuller test was performed on the first difference of the log exchange rate (D(LEXCHANGERATE)) to test for the presence of a unit root. The test statistic of -11.29439 is lower than the 1% critical value, so we reject the null hypothesis that D(LEXCHANGERATE) has a unit root. Therefore, the results show that the first difference of the log exchange rate is stationary.

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    © All Rights Reserved
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    of 1

    Augmented Dickey-Fuller Unit Root Test on D(LEXCHANGERATE)

    Null Hypothesis: D(LEXCHANGERATE) has a unit root


    Exogenous: Constant, Linear Trend
    Lag Length: 0 (Automatic - based on SIC, maxlag=8)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -11.29439 0.0000


    Test critical values: 1% level -4.037668
    5% level -3.448348
    10% level -3.149326

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

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(LEXCHANGERATE,2)
    Method: Least Squares
    Date: 05/23/23 Time: 20:56
    Sample (adjusted): 2010M03 2019M12
    Included observations: 118 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    D(LEXCHANGERATE(-1)) -1.053481 0.093275 -11.29439 0.0000


    C 0.004920 0.003807 1.292572 0.1988
    @TREND("2010M01") -2.33E-05 5.45E-05 -0.427214 0.6700

    R-squared 0.525943 Mean dependent var -8.76E-05


    Adjusted R-squared 0.517698 S.D. dependent var 0.029051
    S.E. of regression 0.020175 Akaike info criterion -4.943622
    Sum squared resid 0.046810 Schwarz criterion -4.873181
    Log likelihood 294.6737 Hannan-Quinn criter. -4.915021
    F-statistic 63.79337 Durbin-Watson stat 1.983505
    Prob(F-statistic) 0.000000

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