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  • KPSS Firstdiff Jibor Intercept and Trend

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    Naura Pradipta Khairunnisa
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    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted to test the stationarity of the first differenced JIBOR_SA (D(JIBOR_SA)) variable. The KPSS test statistic of 0.054491 was lower than the 10% critical value, so the null hypothesis that D(JIBOR_SA) is stationary cannot be rejected. A regression was also estimated with a constant and linear time trend as exogenous variables, and the coefficients were not statistically significant, providing further evidence that D(JIBOR_SA) is stationary.

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    KPSS FIRSTDIFF JIBOR INTERCEPT AND TREND

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    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted to test the stationarity of the first differenced JIBOR_SA (D(JIBOR_SA)) variable. The KPSS test statistic of 0.054491 was lower than the 10% critical value, so the null hypothesis that D(JIBOR_SA) is stationary cannot be rejected. A regression was also estimated with a constant and linear time trend as exogenous variables, and the coefficients were not statistically significant, providing further evidence that D(JIBOR_SA) is stationary.

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    © All Rights Reserved
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    5 views1 page

    KPSS Firstdiff Jibor Intercept and Trend

    Uploaded by

    Naura Pradipta Khairunnisa
    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted to test the stationarity of the first differenced JIBOR_SA (D(JIBOR_SA)) variable. The KPSS test statistic of 0.054491 was lower than the 10% critical value, so the null hypothesis that D(JIBOR_SA) is stationary cannot be rejected. A regression was also estimated with a constant and linear time trend as exogenous variables, and the coefficients were not statistically significant, providing further evidence that D(JIBOR_SA) is stationary.

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    KPSS Unit Root Test on D(JIBOR_SA)

    Null Hypothesis: D(JIBOR_SA) is stationary


    Exogenous: Constant, Linear Trend
    Bandwidth: 5 (Newey-West automatic) using Bartlett kernel

    LM-Stat.

    Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.054491


    Asymptotic critical values*: 1% level 0.216000
    5% level 0.146000
    10% level 0.119000

    *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)

    Residual variance (no correction) 0.113590


    HAC corrected variance (Bartlett kernel) 0.214760

    KPSS Test Equation


    Dependent Variable: D(JIBOR_SA)
    Method: Least Squares
    Date: 05/23/23 Time: 21:14
    Sample (adjusted): 2010M02 2019M12
    Included observations: 119 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    C -0.003858 0.062712 -0.061523 0.9510


    @TREND("2010M01") -0.000124 0.000907 -0.136877 0.8914

    R-squared 0.000160 Mean dependent var -0.011308


    Adjusted R-squared -0.008386 S.D. dependent var 0.338484
    S.E. of regression 0.339900 Akaike info criterion 0.696334
    Sum squared resid 13.51725 Schwarz criterion 0.743042
    Log likelihood -39.43187 Hannan-Quinn criter. 0.715301
    F-statistic 0.018735 Durbin-Watson stat 1.334827
    Prob(F-statistic) 0.891364

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