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Table 5 Residuals analysis

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
  1. Null hypothesis over residuals of LM, ARCH, Jarque–Bera y BDS tests are no autocorrelation, no autoregressive conditional heteroscedasticity, normality and independence, respectively