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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