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  • KPSS Lipi Intercept and Trend

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    Naura Pradipta Khairunnisa
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    This document reports the results of a Kwiatkowski–Phillips–Schmidt–Shin (KPSS) unit root test conducted on the variable LIPI. The null hypothesis that LIPI is stationary cannot be rejected, as the test statistic of 0.092748 is less than the 10% critical value of 0.119000. Additional outputs including residual variances and results of the KPSS test equation are also presented.

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    KPSS LIPI INTERCEPT AND TREND

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    This document reports the results of a Kwiatkowski–Phillips–Schmidt–Shin (KPSS) unit root test conducted on the variable LIPI. The null hypothesis that LIPI is stationary cannot be rejected, as the test statistic of 0.092748 is less than the 10% critical value of 0.119000. Additional outputs including residual variances and results of the KPSS test equation are also presented.

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    © All Rights Reserved
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    6 views1 page

    KPSS Lipi Intercept and Trend

    Uploaded by

    Naura Pradipta Khairunnisa
    This document reports the results of a Kwiatkowski–Phillips–Schmidt–Shin (KPSS) unit root test conducted on the variable LIPI. The null hypothesis that LIPI is stationary cannot be rejected, as the test statistic of 0.092748 is less than the 10% critical value of 0.119000. Additional outputs including residual variances and results of the KPSS test equation are also presented.

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    © All Rights Reserved
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    KPSS Unit Root Test on LIPI

    Null Hypothesis: LIPI is stationary


    Exogenous: Constant, Linear Trend
    Bandwidth: 1 (Newey-West automatic) using Bartlett kernel

    LM-Stat.

    Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.092748


    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) 0.000940


    HAC corrected variance (Bartlett kernel) 0.000979

    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 4.584108 0.005611 816.9982 0.0000


    @TREND("2010M01") 0.003731 8.15E-05 45.78454 0.0000

    R-squared 0.946708 Mean dependent var 4.806118


    Adjusted R-squared 0.946257 S.D. dependent var 0.133395
    S.E. of regression 0.030925 Akaike info criterion -4.098008
    Sum squared resid 0.112847 Schwarz criterion -4.051550
    Log likelihood 247.8805 Hannan-Quinn criter. -4.079141
    F-statistic 2096.224 Durbin-Watson stat 1.908537
    Prob(F-statistic) 0.000000

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