PDSI for Kansas Fail to reject unit root null Fail to reject trend stationary null Using eviews defaults, 5% msl.
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1 Menzie Chinn, 9/11/2016 AGRIC09KS is March 2016 vintage AGR09KS1 is July 2016 vintage PDSI_KS_NEW is PDSI for Kansas ADF KPSS Agriculture (March 16 vintage) Fail to reject unit root null Fail to reject trend stationary null Agriculture (July 16 vintage) Fail to reject unit root null Reject trend stationary null (ERS rejects) PDSI for Kansas Fail to reject unit root null Fail to reject trend stationary null Using eviews defaults, 5% msl. 8,000 7,000 March 2016 vintage 6,000 5,000 4,000 3,000 July 2016 vintage 2, AGRIC09KS AGR09KS1
2 PDSI_KS_NEW Null Hypothesis: AGRIC09KS has a unit root Lag Length: 0 (Automatic - based on AIC, maxlag=9) Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(AGRIC09KS) Date: 09/11/16 Time: 21:46 Sample (adjusted): 2005Q2 2015Q3 Included observations: 42 after adjustments AGRIC09KS(-1) C
3 R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: AGRIC09KS has a unit root Lag Length: 0 (Automatic - based on AIC, maxlag=9) Elliott-Rothenberg-Stock DF-GLS test statistic Test critical values: 1% level % level % level *Elliott-Rothenberg-Stock (1996, Table 1) Warning: Test critical values calculated for 50 observations and may not be accurate for a sample size of 42 DF-GLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID) Date: 09/11/16 Time: 21:46 Sample (adjusted): 2005Q2 2015Q3 Included observations: 42 after adjustments GLSRESID(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter Durbin-Watson stat Null Hypothesis: AGRIC09KS is stationary Bandwidth: 4 (Newey-West automatic) using Bartlett kernel LM-Stat. Kwiatkowski-Phillips-Schmidt-Shin test statistic Asymptotic critical values*: 1% level % level % level *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)
4 Residual variance (no correction) HAC corrected variance (Bartlett kernel) KPSS Test Equation Dependent Variable: AGRIC09KS Date: 09/11/16 Time: 21:46 Sample (adjusted): 2005Q1 2015Q3 Included observations: 43 after adjustments C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: AGR09KS1 has a unit root Lag Length: 0 (Automatic - based on AIC, maxlag=9) Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(AGR09KS1) Date: 09/11/16 Time: 21:46 Sample (adjusted): 2005Q2 2016Q1 Included observations: 44 after adjustments AGR09KS1(-1) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var
5 S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: AGR09KS1 has a unit root Lag Length: 0 (Automatic - based on AIC, maxlag=9) Elliott-Rothenberg-Stock DF-GLS test statistic Test critical values: 1% level % level % level *Elliott-Rothenberg-Stock (1996, Table 1) Warning: Test critical values calculated for 50 observations and may not be accurate for a sample size of 44 DF-GLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID) Date: 09/11/16 Time: 21:47 Sample (adjusted): 2005Q2 2016Q1 Included observations: 44 after adjustments GLSRESID(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter Durbin-Watson stat Null Hypothesis: AGR09KS1 is stationary Bandwidth: 4 (Newey-West automatic) using Bartlett kernel LM-Stat. Kwiatkowski-Phillips-Schmidt-Shin test statistic Asymptotic critical values*: 1% level % level % level *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1) Residual variance (no correction)
6 HAC corrected variance (Bartlett kernel) KPSS Test Equation Dependent Variable: AGR09KS1 Date: 09/11/16 Time: 21:47 Sample: 2005Q1 2016Q1 Included observations: 45 C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: PDSI_KS_NEW has a unit root Lag Length: 1 (Automatic - based on AIC, maxlag=9) Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(PDSI_KS_NEW) Date: 09/11/16 Time: 21:47 Sample: 2005Q1 2016Q1 Included observations: 45 PDSI_KS_NEW(-1) D(PDSI_KS_NEW(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion
7 Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: PDSI_KS_NEW has a unit root Lag Length: 1 (Automatic - based on AIC, maxlag=9) Elliott-Rothenberg-Stock DF-GLS test statistic Test critical values: 1% level % level % level *Elliott-Rothenberg-Stock (1996, Table 1) Warning: Test critical values calculated for 50 observations and may not be accurate for a sample size of 45 DF-GLS Test Equation on GLS Detrended Residuals Dependent Variable: D(GLSRESID) Date: 09/11/16 Time: 21:48 Sample: 2005Q1 2016Q1 Included observations: 45 GLSRESID(-1) D(GLSRESID(-1)) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter Durbin-Watson stat Null Hypothesis: PDSI_KS_NEW is stationary Bandwidth: 5 (Newey-West automatic) using Bartlett kernel LM-Stat. Kwiatkowski-Phillips-Schmidt-Shin test statistic Asymptotic critical values*: 1% level % level % level *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1) Residual variance (no correction) HAC corrected variance (Bartlett kernel)
8 KPSS Test Equation Dependent Variable: PDSI_KS_NEW Date: 09/11/16 Time: 21:48 Sample: 2005Q1 2016Q1 Included observations: 45 C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)
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