Re: [R] about kpss.test()

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Thu 10 Mar 2005 - 23:14:01 EST

On Wed, 9 Mar 2005 14:32:09 -0500 (EST) Weiguang Shi wrote:

> --- Achim Zeileis <Achim.Zeileis@wu-wien.ac.at>
> wrote:
> > > First of all, could you tell me what the "KPSS
> > Level"
> > > in the output of the test means?
> Thanks. But I meant to also ask about the number after
> that, e.g.,
> KPSS Level = 0.0027

If you wouldn't have deleted my reply to that question, you could still see the answer! It was:

  <quote>
  It means that you tested for level stationarity and gives you the test   statistic.
  </quote>

Note the second half of the sentence.

> > Please check the references of kpss.test or any book
> > on economectric
> > time series analysis for which alternatives the KPSS
> > test was designed.
> Will soon do.
>
> > Hint: it's not designed for detecting cyclical
> > variations.
> OK. I guess there must be some pre-requisite on the
> data before kpss-ing it.

In particular it means: There are infinitely many conceivable ways of deviation from stationarity and the KPSS test is only good at detecting certain kinds of deviation (which do not include cyclical variations). Z



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