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Rokhma Al Anisah
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Decision Sciences, Operations Research & Management

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UJI STASIONERITAS DATA INFLASI DENGAN PHILLIPS-PERON TEST Maruddani, Di Asih I; Tarno, Tarno; Anisah, Rokhma Al
MEDIA STATISTIKA Vol 1, No 1 (2008): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (71.414 KB) | DOI: 10.14710/medstat.1.1.27-34

Abstract

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
Co-Authors Di Asih I Maruddani Tarno Tarno