KPSS test

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Ayesha Khan
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Joined: Tue Nov 15, 2016 5:30 pm

KPSS test

Postby Ayesha Khan » Tue Nov 15, 2016 5:38 pm

Hi I am having problem interpreting KPSS test for stationarity as its null hypothesis is opposite.
Can you guide me about the results I got?
Null Hypothesis: LFDI is stationary
Exogenous: Constant
Bandwidth: 4 (Newey-West automatic) using Bartlett kernel

LM-Stat.

Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.457959
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) 0.823237
HAC corrected variance (Bartlett kernel) 2.976045



KPSS Test Equation
Dependent Variable: LFDI
Method: Least Squares
Date: 11/16/16 Time: 05:22
Sample: 1989 2016
Included observations: 28

Variable Coefficient Std. Error t-Statistic Prob.

C 20.58906 0.174615 117.9114 0.0000

R-squared 0.000000 Mean dependent var 20.58906
Adjusted R-squared 0.000000 S.D. dependent var 0.923974
S.E. of regression 0.923974 Akaike info criterion 2.714795
Sum squared resid 23.05065 Schwarz criterion 2.762374
Log likelihood -37.00713 Hannan-Quinn criter. 2.729340
Durbin-Watson stat 0.226713

Is my series stationary? what is the best way to interpret KPSS results?

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