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  • Adf Firstdiff Lipi Intercept Trend

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    Naura Pradipta Khairunnisa
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    The Augmented Dickey-Fuller test was conducted on the first difference of LIPI (D(LIPI)) with a constant and linear trend. The test statistic of -10.59119 is lower than the 1% critical value, so the null hypothesis that D(LIPI) has a unit root is rejected. The p-value is 0.0000, indicating the rejection is highly significant. The Augmented Dickey-Fuller test equation results support the conclusion that D(LIPI) is stationary.

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    ADF FIRSTDIFF LIPI INTERCEPT TREND

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    The Augmented Dickey-Fuller test was conducted on the first difference of LIPI (D(LIPI)) with a constant and linear trend. The test statistic of -10.59119 is lower than the 1% critical value, so the null hypothesis that D(LIPI) has a unit root is rejected. The p-value is 0.0000, indicating the rejection is highly significant. The Augmented Dickey-Fuller test equation results support the conclusion that D(LIPI) is stationary.

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    © All Rights Reserved
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    7 views1 page

    Adf Firstdiff Lipi Intercept Trend

    Uploaded by

    Naura Pradipta Khairunnisa
    The Augmented Dickey-Fuller test was conducted on the first difference of LIPI (D(LIPI)) with a constant and linear trend. The test statistic of -10.59119 is lower than the 1% critical value, so the null hypothesis that D(LIPI) has a unit root is rejected. The p-value is 0.0000, indicating the rejection is highly significant. The Augmented Dickey-Fuller test equation results support the conclusion that D(LIPI) is stationary.

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    of 1

    Augmented Dickey-Fuller Unit Root Test on D(LIPI)

    Null Hypothesis: D(LIPI) has a unit root


    Exogenous: Constant, Linear Trend
    Lag Length: 2 (Automatic - based on SIC, maxlag=8)

    t-Statistic Prob.*

    Augmented Dickey-Fuller test statistic -10.59119 0.0000


    Test critical values: 1% level -4.039075
    5% level -3.449020
    10% level -3.149720

    *MacKinnon (1996) one-sided p-values.

    Augmented Dickey-Fuller Test Equation


    Dependent Variable: D(LIPI,2)
    Method: Least Squares
    Date: 05/23/23 Time: 21:01
    Sample (adjusted): 2010M05 2019M12
    Included observations: 116 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    D(LIPI(-1)) -2.472488 0.233448 -10.59119 0.0000


    D(LIPI(-1),2) 0.768024 0.171974 4.465932 0.0000
    D(LIPI(-2),2) 0.255182 0.092182 2.768251 0.0066
    C 0.007424 0.006931 1.071164 0.2864
    @TREND("2010M01") 1.78E-05 9.85E-05 0.180991 0.8567

    R-squared 0.775166 Mean dependent var -0.000252


    Adjusted R-squared 0.767063 S.D. dependent var 0.073564
    S.E. of regression 0.035505 Akaike info criterion -3.796153
    Sum squared resid 0.139925 Schwarz criterion -3.677464
    Log likelihood 225.1769 Hannan-Quinn criter. -3.747972
    F-statistic 95.67419 Durbin-Watson stat 2.059748
    Prob(F-statistic) 0.000000

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