KPSS.test: Kwiatkowski-Phillips-Schmidt-Shin Test
In uroot: Unit Root Tests and Graphics for Seasonal Time Series

Description Usage Arguments Details Value Author(s) References See Also Examples

This function computes the Kwiatkowski-Phillips-Schmidt-Shin test statistic for examining the null hypothesis that a given series is level-stationary, or stationary around a deterministic trend against the alternative that the series is first difference stationary.

1 2	KPSS.test (wts, ltrunc)

`wts`	a univariate time series object.
`ltrunc`	lag truncation parameter. By default, 3sqrt(length(wts))/13*

Lag truncation parameter indicates the number of autocovariances considered different from zero for estimating the variance of the residuals. According to the source paper cited below, the lag truncation parameter may be chosen either as integer[4(T/100)^{1/4}] or integer[12(T/100)^{1/4}], as well as l =0.

Rejection of the null hypothesis implies that the long term frequency contains a unit root.

An object of class kpssstat-class.

Javier Lopez-de-Lacalle javlacalle@yahoo.es and Ignacio Diaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es.

D. Kwiatkowski, P.C.B. Phillips, P. Schmidt and Y. Shin (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.

KPSS.rectest.

    ## KPSS test
    data(AirPassengers)
    kpss.out1 <- KPSS.test(wts=AirPassengers, ltrunc=1)
    kpss.out1
    kpss.out2 <- KPSS.test(wts=AirPassengers, ltrunc=2)
    kpss.out2
    kpss.out3 <- KPSS.test(wts=AirPassengers, ltrunc=4)
    kpss.out3