[R] KPSS test - Lag selection

From: Florian E. <F.Ertz_at_gmx.net>
Date: Sat, 31 May 2008 06:07:43 -0700 (PDT)

Hello everyone!

Quite a similar question has been posed here some time ago, but there was no explicit solution offered. So I hope that it is OK to pose it again.

I want to perform a KPSS test using the packages "urca" or "tseries". But I neither want to use the predefined lag structures, "short" and "long", nor specify the number of lags arbitrarily by myself. Unfortunately there is, or I have not found it yet, no possibility of an automatic lag selection. Using "EViews" there is such an option.

Well, my questions are the following ones. Is there such an option in some package, which I have been too blind to find? Or otherwise; is there an easy kind of work-around to select the bandwith in advance and use it in the above mentioned packages?

Thanks for your attention and help!

Florian

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