ur.kpss: Kwiatkowski et al. Unit Root Test

Description

Performs the KPSS unit root test, where the Null hypothesis is stationarity. The test types specify as deterministic component either a constant "mu" or a constant with linear trend "tau".

Usage

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ur.kpss(y, type = c("mu", "tau"), lags = c("short", "long", "nil"),
        use.lag = NULL)

Arguments

y

Vector to be tested for a unit root.

type

Type of deterministic part.

lags

Maximum number of lags used for error term correction.

use.lag

User specified number of lags.

Details

lags="short" sets the number of lags to \root 4 \of {4 \times (n/100)}, whereas lags="long" sets the number of lags to \root 4 \of {12 \times (n/100)}. If lags="nil" is choosen, then no error correction is made. Furthermore, one can specify a different number of maximum lags by setting use.lag accordingly.

Value

An object of class ur.kpss.

Author(s)

Bernhard Pfaff

References

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

See Also

ur.kpss-class

Examples

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data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
gnp.l <- log(gnp)
kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short")
summary(kpss.gnp)

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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