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

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Tue 03 May 2005 - 19:46:36 EST

On Mon, 02 May 2005 14:43:02 -0700 Waichler, Scott R wrote:

>
> 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"?

No, every level stationary series is also trend stationary (with a zero trend). Hence, the test statistic is even smaller for null = "Trend" because first the trend is removed (which is not exactly zero due to random variation).
Z

> 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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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 Tue May 03 19:56:37 2005

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