Conduct an ADF unit-root test on the spread
series. state the null and alternative hypothesis for the
test. Also conduct a KPSS unit root test and be sure to state the
null and alternative hypothesis for the test. Are the results from
both tests consistent with each other?
Conduct An Adf Unit Root Test On The Spread Series State The Null And Alternative Hypothesis For The Test Also Conduc 1 (218.29 KiB) Viewed 40 times
View Proc Object Properties Print Name Freeze Sample Genr Sheet Graph Sta Augmented Dickey-Fuller Unit Root Test on SPREAD Null Hypothesis: SPREAD has a unit root Exogenous: Constant Lag Length: 2 (Automatic - based on SIC, maxlag=14) t-Statistic Prob.* -2.902952 0.0467 Augmented Dickey-Fuller test statistic Test critical values: 1% level -3.462574 5% level -2.875608 10% level -2.574346 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SPREAD) Method:ast Squares Samp Included observations: 203 after adjustments Variable Coefficient Std. Error t-Statistic Prob. SPREAD(-1) -0.095359 0.032849 -2.902952 0.0041 D(SPREAD(-1)) 0.064769 3.678928 0.0003 0.238279 -0.355169 0.066134 -5.370432 0.0000 D(SPREAD(-2)) с 0.071821 0.030114 2.384993 0.0180 R-squared 0.002709 0.296418 Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic 0.217706 Mean dependent var 0.205913 S.D. dependent var 0.264142 Akaike info criterion 13.88448 Schwarz criterion -15.77740 Hannan-Quinn criter. 0.194851 0.260136 0.221263 18.46002 Durbin-Watson stat 1.927785
Series: SPREAD Workfile: ASSIGNMENT_QUESTIO... View Proc Object Properties Print Name Freeze Sample Genr Sheet Graph Stat KPSS Unit Root Test on SPREAD Null Hypothesis: SPREAD is stationary Exogenous: Constant Bandwidth: 10 (Newey-West automatic) using Bartlett kernel LM-Stat test statistic 0.188621 Kwiatkowski-Phillips-Schmidt-Shin 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) HAC corrected variance (Bartlett kernel) 0.365793 2.575544 KPSS Test Equation Dependent Variable: SPREAD Method: Least Squares Included observations: 206 Variable t-Statistic Prob. 0.0000 0.718544 0.606282 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood 1.841898 1.858053 1.848432 Coefficient 0.718544 0.000000 Mean dependent var 0.000000 S.D. dependent var 0.606282 Akaike info criterion 75.35336 Schwarz criterion -188.7155 Hannan-Quinn criter. Std. Error 0.042242 17.01032
Join a community of subject matter experts. Register for FREE to view solutions, replies, and use search function. Request answer by replying!