Scribd Logo
Upload

Welcome to Scribd!

  • KPSS X Stasioner

    Uploaded by

    Naura Pradipta Khairunnisa
    5 views1 page
    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted on time series data (X) with a constant and bandwidth of 9 using the Newey-West method. The test statistic of 0.171907 is below the 10% critical value, so the null hypothesis that X is stationary cannot be rejected. The residual variance is 5.630412 without correction and 40.97657 with Bartlett kernel correction.

    Original Description:

    Original Title

    KPSS X STASIONER

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted on time series data (X) with a constant and bandwidth of 9 using the Newey-West method. The test statistic of 0.171907 is below the 10% critical value, so the null hypothesis that X is stationary cannot be rejected. The residual variance is 5.630412 without correction and 40.97657 with Bartlett kernel correction.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    5 views1 page

    KPSS X Stasioner

    Uploaded by

    Naura Pradipta Khairunnisa
    The Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test was conducted on time series data (X) with a constant and bandwidth of 9 using the Newey-West method. The test statistic of 0.171907 is below the 10% critical value, so the null hypothesis that X is stationary cannot be rejected. The residual variance is 5.630412 without correction and 40.97657 with Bartlett kernel correction.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    KPSS Unit Root Test on X

    Null Hypothesis: X is stationary


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

    LM-Stat.

    Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.171907


    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) 5.630412


    HAC corrected variance (Bartlett kernel) 40.97657

    KPSS Test Equation


    Dependent Variable: X
    Method: Least Squares
    Date: 03/14/23 Time: 16:00
    Sample: 2011M01 2022M12
    Included observations: 144

    Variable Coefficient Std. Error t-Statistic Prob.

    C -0.026353 0.198428 -0.132809 0.8945

    R-squared 0.000000 Mean dependent var -0.026353


    Adjusted R-squared 0.000000 S.D. dependent var 2.381131
    S.E. of regression 2.381131 Akaike info criterion 4.579949
    Sum squared resid 810.7793 Schwarz criterion 4.600572
    Log likelihood -328.7563 Hannan-Quinn criter. 4.588329
    Durbin-Watson stat 0.179721

    You might also like