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  • KPSS Lipi Intercept

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    Naura Pradipta Khairunnisa
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    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted to examine the stationarity of the LIPI time series variable. The KPSS test statistic of 1.296915 exceeds the 10% critical value of 0.347000, so the null hypothesis that LIPI is stationary is rejected. The residual variance is 0.017646 and the HAC corrected variance is 0.155536. The KPSS test equation regression of LIPI on a constant has an R-squared of 0 and coefficient of 4.806118.

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    KPSS LIPI INTERCEPT

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    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted to examine the stationarity of the LIPI time series variable. The KPSS test statistic of 1.296915 exceeds the 10% critical value of 0.347000, so the null hypothesis that LIPI is stationary is rejected. The residual variance is 0.017646 and the HAC corrected variance is 0.155536. The KPSS test equation regression of LIPI on a constant has an R-squared of 0 and coefficient of 4.806118.

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    4 views1 page

    KPSS Lipi Intercept

    Uploaded by

    Naura Pradipta Khairunnisa
    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted to examine the stationarity of the LIPI time series variable. The KPSS test statistic of 1.296915 exceeds the 10% critical value of 0.347000, so the null hypothesis that LIPI is stationary is rejected. The residual variance is 0.017646 and the HAC corrected variance is 0.155536. The KPSS test equation regression of LIPI on a constant has an R-squared of 0 and coefficient of 4.806118.

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    of 1

    KPSS Unit Root Test on LIPI

    Null Hypothesis: LIPI is stationary


    Exogenous: Constant
    Bandwidth: 9 (Newey-West automatic) using Bartlett kernel

    LM-Stat.

    Kwiatkowski-Phillips-Schmidt-Shin test statistic 1.296915


    Asymptotic critical values*: 1% level 0.739000
    5% level 0.463000
    10% level 0.347000

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

    Residual variance (no correction) 0.017646


    HAC corrected variance (Bartlett kernel) 0.155536

    KPSS Test Equation


    Dependent Variable: LIPI
    Method: Least Squares
    Date: 05/23/23 Time: 21:10
    Sample: 2010M01 2019M12
    Included observations: 120

    Variable Coefficient Std. Error t-Statistic Prob.

    C 4.806118 0.012177 394.6796 0.0000

    R-squared 0.000000 Mean dependent var 4.806118


    Adjusted R-squared 0.000000 S.D. dependent var 0.133395
    S.E. of regression 0.133395 Akaike info criterion -1.182702
    Sum squared resid 2.117521 Schwarz criterion -1.159473
    Log likelihood 71.96212 Hannan-Quinn criter. -1.173269
    Durbin-Watson stat 0.102382

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