Kpss Test

The library that i m using is tseries and the function is kpss test.
Kpss test. Kpss test for level stationarity data. However it has couple of key differences compared to the adf test in function and in practical usage. Y kpss level 9 8675 truncation lag parameter 7 p value 0 01 warning message. Therefore is not safe to just use them interchangeably.
The series has a unit root series is not stationary. P value smaller than printed p value kpss test for level stationarity data. In econometrics kwiatkowski phillips schmidt shin kpss tests are used for testing a null hypothesis that an observable time series is stationary around a deterministic trend i e. Like adf test the kpss test is also commonly used to analyse the stationarity of a series.
P value greater than printed p value. Stat test statisticsscalar vector. Td kpss level 1 7174 truncation lag parameter 1 p value 0 01 kpss test td null trend kpss test for trend stationarity data. A function is created to carry out the kpss test on a time series.
Kpss test td null level warning message. Kpss test examples not run x rnorm 1000 is level stationary kpss test x y cumsum x has unit root kpss test y x 0 3 1 1000 rnorm 1000 is trend stationary kpss test x null trend. The series is non stationary. The null hypothesis of stationarity around a level is rejected.
The p value is less than 0 05. X kpss trend 0 056532 truncation lag parameter 7 p value 0 1 warning message. Test statistics returned as a scalar or vector with a length equal to the number of tests that the software conducts. Wnt kpss level 2 1029 truncation lag parameter 4 p value 0 01.
In kpss test x null trend. Kpss test for level stationarity data. Kpsstest computes test statistics using an ordinary least squares ols regression. This is white noise around a trend so it is definitely a stationary process but has a trend.
From wikipedia the free encyclopedia. If the lm statistic is greater than the critical value given in the table below for alpha levels of 10 5 and 1 then the null hypothesis is rejected. P value smaller than printed p value kpss test for trend stationarity data. If you set trend false then the software regresses y on an intercept.
Td kpss trend 0 17075 truncation lag parameter 1 p value 0 02938. Trend stationary against the alternative of a unit root. I m using r to calculate the kpss to check the stationarity. The process is trend stationary.
In kpss test td null level. Kpss test is a statistical test to check for stationarity of a series around a deterministic trend. I have done a simple test using cars a default matrix on r. Jump to navigation jump to search.
Kpss test kpss is another test for checking the stationarity of a time series.