KPSS output results

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EugenieK
Posts: 2
Joined: Tue May 20, 2014 4:06 am

KPSS output results

Postby EugenieK » Tue May 20, 2014 4:14 am

Hello, could you help me with interpretation of this output
Null Hypothesis: SME is stationary
Exogenous: Constant
Bandwidth: 4 (Newey-West automatic) using Bartlett kernel

LM-Stat.

Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.360066
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) 1.07E-05
HAC corrected variance (Bartlett kernel) 4.08E-05

Do we reject the hypothesis of stationarity? Thanks in advance!

zahideconomist
Posts: 3
Joined: Thu May 08, 2014 12:04 pm

Re: KPSS output results

Postby zahideconomist » Sat May 31, 2014 11:25 am

According to your result null hypothesis can not be rejected at 5% level

EugenieK
Posts: 2
Joined: Tue May 20, 2014 4:06 am

Re: KPSS output results

Postby EugenieK » Sun Jun 01, 2014 11:14 pm

Thank you!


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