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st: Problems in interpreting KPSS test
From
"hasnain.yousaf" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Problems in interpreting KPSS test
Date
Tue, 1 Oct 2013 05:38:19 +0000
While performing stationarity tests on data, the results of ADF and P-Perron are supporting the Unit root while KPSS test results are conflicting
Variable ADF P-Parron KPSS
Stat Z-Val Ho Stat Z-Val Ho Stat Ho @ 5%
GDP Per Capita -2.711 0.2316 N -14.363 0.1838 N .0683 N
Gross Fixed Capitalization -1.816 0.6969 N -12.071 0.4039 N .121 N
Long Distance Movements 0.104 0.9951 N -0.455 0.9912 N .147 N
The maximum lags were selected using Schwert criterion (9) lags.
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