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  • KPSS Firstdiff Jibor Intercept

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    Naura Pradipta Khairunnisa
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    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted on the first differenced JIBOR_SA time series data from 2010-2019 to test the null hypothesis that it is stationary. The KPSS test statistic of 0.055438 is less than the 10% critical value, so we fail to reject the null hypothesis that D(JIBOR_SA) is stationary.

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    KPSS FIRSTDIFF JIBOR INTERCEPT

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    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted on the first differenced JIBOR_SA time series data from 2010-2019 to test the null hypothesis that it is stationary. The KPSS test statistic of 0.055438 is less than the 10% critical value, so we fail to reject the null hypothesis that D(JIBOR_SA) is stationary.

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    © All Rights Reserved
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    5 views1 page

    KPSS Firstdiff Jibor Intercept

    Uploaded by

    Naura Pradipta Khairunnisa
    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted on the first differenced JIBOR_SA time series data from 2010-2019 to test the null hypothesis that it is stationary. The KPSS test statistic of 0.055438 is less than the 10% critical value, so we fail to reject the null hypothesis that D(JIBOR_SA) is stationary.

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    © All Rights Reserved
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    of 1

    KPSS Unit Root Test on D(JIBOR_SA)

    Null Hypothesis: D(JIBOR_SA) is stationary


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

    LM-Stat.

    Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.055438


    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) 0.113609


    HAC corrected variance (Bartlett kernel) 0.214777

    KPSS Test Equation


    Dependent Variable: D(JIBOR_SA)
    Method: Least Squares
    Date: 05/23/23 Time: 21:13
    Sample (adjusted): 2010M02 2019M12
    Included observations: 119 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    C -0.011308 0.031029 -0.364422 0.7162

    R-squared 0.000000 Mean dependent var -0.011308


    Adjusted R-squared 0.000000 S.D. dependent var 0.338484
    S.E. of regression 0.338484 Akaike info criterion 0.679687
    Sum squared resid 13.51942 Schwarz criterion 0.703041
    Log likelihood -39.44139 Hannan-Quinn criter. 0.689171
    Durbin-Watson stat 1.334616

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