[R] The null hypothesis in kpss test (kpss.test())

From: Weiguang Shi <wgshi2001_at_yahoo.ca>
Date: Wed 09 Mar 2005 - 04:51:37 EST


is that 'x' is level or trend stationary. I did this  

> s<-rnorm(1000)
> kpss.test(s)
 

        KPSS Test for Level Stationarity  

  data: s
  KPSS Level = 0.0429, Truncation lag parameter = 7, p-value = 0.1  

  Warning message:
  p-value greater than printed p-value in:
kpss.test(s)

My question is whether p=0.1 is a good number to reject
N0? On the other hand, I have a series r and did the following:
> plot.ts(r)
> kpss.test(r)
 

        KPSS Test for Level Stationarity  

  data: r
  KPSS Level = 3.1955, Truncation lag parameter = 7, p-value = 0.01
 

  Warning message:
  p-value smaller than printed p-value in: kpss.test(r)

So this says we can have more confidence in saying r is _not_ stationary? Should I worry about the warnings?

Thanks very much.
Weiguang



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