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

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Wed 09 Mar 2005 - 05:12:54 EST

As help(kpss.test) tells you: kpss.test() approximates the p values by interpolation from a simulated table of critical values. As p values larger than 0.1 are typically regarded to be non-significant and p values smaller than 0.01 are typically regarded to be highly significant, the corresponding critical values are only stored for the range 0.1 to 0.01.

Hence...

On Tue, 8 Mar 2005 12:51:37 -0500 (EST) Weiguang Shi wrote:

> 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?

...stationarity cannot be rejected here (which is not surprising) and...

> 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)

...stationarity is clearly rejected here.

> So this says we can have more confidence in saying r
> is _not_ stationary?

Yes (I guess. I'm not sure about `more confidence'...`more' than what?) Z

> Should I worry about the warnings?
>
> Thanks very much.
> Weiguang
>
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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Mar 09 05:17:52 2005

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