[R] Trying to understand kpss.test() in tseries package

From: Waichler, Scott R <Scott.Waichler_at_pnl.gov>
Date: Tue 03 May 2005 - 07:43:02 EST

I'm trying to understand how to use kpss.test() properly. If I have a level stationary series like rnorm() in the help page, shouldn't I get a small p-value with the null hypothesis set to "Trend"? The (condensed) output from kpss.test() for the two possible null hypotheses is given below. I don't see any significant difference between these results.

> x <- rnorm(1000) # is level stationary
> kpss.test(x, null="Level")

        KPSS Test for Level Stationarity KPSS Level = 0.0638, Truncation lag parameter = 7, p-value = 0.1 Warning: p-value greater than printed p-value

> kpss.test(x, null="Trend")

        KPSS Test for Trend Stationarity KPSS Trend = 0.0275, Truncation lag parameter = 7, p-value = 0.1 Warning: p-value greater than printed p-value

I can't get the original reference easily.

Scott Waichler
Pacific Northwest National Laboratory
scott.waichler@pnl.gov



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