DETEKSI STASIONERITAS DATA RUNTUN WAKTU MELALUI UJI AKAR-AKAR UNIT

Authors

  • Rusdi Rusdi Prodi Pendidikan Matematika STAIN Sjech M. Djamil Djambek Bukittinggi Jl. Raya Gurun Aur Kubang Putih Kabupaten Agam.

DOI:

https://doi.org/10.31958/js.v3i1.37

Abstract

even though there is no meaningful relationship between the two variables. Sometime we expect no relationship between the two variables, yet a regression of one on the other variable often shows a significant relationship. This situation exemplifies the problem of spurious regression. Spurious regression problem may arise from regressing a nonstationary time series variable on one or more nonstationary time series variable(s). Therefore, it considers important to be able to determine whether a time series data is stationary or not. A time series data is called stationary if it does not contain any unit roots. A test of stationary (or nonstationary) has become widely popular since the last two decades is the unit root test. This paper is meant to explain how to use unit root test in time series model especially for an autoregressive time series model.

Key words: autoregressive time series, stationary, unit root

Author Biography

Rusdi Rusdi, Prodi Pendidikan Matematika STAIN Sjech M. Djamil Djambek Bukittinggi Jl. Raya Gurun Aur Kubang Putih Kabupaten Agam.

Prodi Pendidikan Matematika STAIN Sjech M. Djamil Djambek Bukittinggi

Jl. Raya Gurun Aur Kubang Putih Kabupaten Agam.

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Published

2016-09-22

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