[R] KPSS test

From: Sachin J <sachinj.2006_at_yahoo.com>
Date: Fri 07 Jul 2006 - 00:16:47 EST


Hi,    

  Am I interpreting the results properly? Are my conclusions correct?    

  > KPSS.test(df)

CONCLUSION: Reject Ho at 0.05 sig level - Level Stationary

     Fail to reject Ho at 0.05 sig level - Trend Stationary   

> kpss.test(df,null = c("Trend"))

          KPSS Test for Trend Stationarity   data: tsdata[, 6]
KPSS Trend = 0.1298, Truncation lag parameter = 1, p-value = 0.07999    

  CONCLUSION: Fail to reject Ho - Trend Stationary as p-value < sig. level (0.05)   

> kpss.test(df,null = c("Level"))

          KPSS Test for Level Stationarity   data: tsdata[, 6]
KPSS Level = 1.0891, Truncation lag parameter = 1, p-value = 0.01   Warning message:
p-value smaller than printed p-value in: kpss.test(tsdata[, 6], null = c("Level"))    

  CONCLUSION: Reject Ho - Level Stationary as p-value > sig. level (0.05)    

  Following is my data set    

  structure(c(11.08, 7.08, 7.08, 6.08, 6.08, 6.08, 23.08, 32.08, 8.08, 11.08, 6.08, 13.08, 13.83, 16.83, 19.83, 8.83, 20.83, 17.83, 9.83, 20.83, 10.83, 12.83, 15.83, 11.83), .Tsp = c(2004, 2005.91666666667, 12), class = "ts")

  Also how do I test this time series for cyclical varitions?    

  Thanks in advance.    

  Sachin                  


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