文章基本信息

标题：UJI STASIONERITAS DATA INFLASI DENGAN PHILLIPS-PERON TEST
本地全文：下载
作者：Di Asih I Maruddani ; Tarno Tarno ; Rokhma Al Anisah 等
期刊名称：MEDIA STATISTIKA
印刷版ISSN：1979-3693
电子版ISSN：2477-0647
出版年度：2012
卷号：1
期号：1
页码：27-34
语种：English
出版社：MEDIA STATISTIKA
摘要：The classical regression model was devised to handle relationships between stationary variables. It should not be applied to nonstationary series. A time series is therefore said to be stationary is its mean, variance, and covariances remain constant over time. A problem associated with nonstationary variables, and frequently faced by econometricians when dealing with time series data, is the spurious regression . An apparent indicator of such spurious regression was a particularly low level for the Durbin-Watson statistics, combined with an acceptable R 2 . Statistical test for stationarity have proposed by Dickey and Fuller (1979). The distribution theory supporting the Dickey-Fuller test assumes that the errors are statistically independent and have a constant variance. Phillips and Peron (1988) developed a generalization of the Dickey-Fuller procedure that the error terms are correlated and not have constant variance. In this paper, we use Phillips-Peron test for inflation data in Indonesia for the time period 1996-2003. The data showed upward trend and the error terms are correlated. The empirical results showed that the inflation data in Indonesia is a nonstationary series. Keywords : stationarity, non autocorrelation, Phillips-Peron Test, inflation