From: Trend-cycle decomposition for Peruvian GDP: application of an alternative method
Statistic | UC-C | UC-N | UC-P | UC-CN | UC-CP | UC-NP | UC-CNP |
---|---|---|---|---|---|---|---|
Autocorrelation LM Test (p-values) | |||||||
LM | 0.236 | 0.238 | 0.125 | 0.998 | 0.455 | 0.962 | 0.324 |
LM(1) | 0.181 | 0.579 | 0.685 | 0.829 | 0.829 | 0.196 | 0.136 |
LM(2) | 0.240 | 0.930 | 0.723 | 0.657 | 0.657 | 0.234 | 0.721 |
LM(3) | 0.790 | 0.217 | 0.410 | 0.847 | 0.847 | 0.730 | 0.206 |
LM(4) | 0.016 | 0.025 | 0.006 | 0.027 | 0.027 | 0.016 | 0.066 |
LM(5) | 0.296 | 0.158 | 0.087 | 0.517 | 0.517 | 0.311 | 0.162 |
LM(6) | 0.975 | 0.387 | 0.931 | 0.223 | 0.223 | 0.972 | 0.673 |
LM(7) | 0.567 | 0.207 | 0.751 | 0.486 | 0.486 | 0.535 | 0.869 |
LM(8) | 0.590 | 0.206 | 0.070 | 0.388 | 0.388 | 0.598 | 0.266 |
Autoregressive conditional heteroscedasticity test (p-values) | |||||||
ARCH | 0.989 | 0.727 | 0.379 | 0.896 | 0.992 | 0.264 | 0.024 |
ARCH(1) | 0.922 | 0.431 | 0.977 | 0.760 | 0.993 | 0.297 | 0.059 |
ARCH(2) | 0.916 | 0.926 | 0.168 | 0.723 | 0.898 | 0.253 | 0.111 |
Normality test (p-values) | |||||||
Jarque–Bera | 0.053 | 0.084 | 0.808 | 0.049 | 0.057 | 0.047 | 0.000 |
Independence test (p-values) | |||||||
BDS (m = 2, 0.7) | 0.817 | 0.817 | 0.960 | 0.523 | 0.870 | 0.049 | 0.000 |
BDS (m = 3, 0.7) | 0.498 | 0.498 | 0.448 | 0.560 | 0.538 | 0.217 | 0.000 |
BDS (m = 4, 0.7) | 0.345 | 0.345 | 0.179 | 0.654 | 0.350 | 0.507 | 0.000 |
BDS (m = 5, 0.7) | 0.404 | 0.404 | 0.124 | 0.662 | 0.379 | 0.875 | 0.000 |
BDS (m = 6, 0.7) | 0.380 | 0.380 | 0.103 | 0.904 | 0.315 | 0.998 | 0.000 |