UJI STASIONERITAS DATA INFLASI DENGAN PHILLIPS-PERON TEST
| Main Authors: | I Maruddani, Di Asih, Tarno, Tarno, Al Anisah , Rokhma |
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| Format: | Article PeerReviewed application/pdf |
| Terbitan: |
Program Studi Statistika FMIPA Undip
, 2008
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| Subjects: | |
| Online Access: |
http://eprints.undip.ac.id/1393/1/Tuisan_4.pdf http://stat.undip.ac.id http://eprints.undip.ac.id/1393/ |
Daftar Isi:
- 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 R2. 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