# [R] KPSS test

From: Sachin J <sachinj.2006_at_yahoo.com>
Date: Fri 07 Jul 2006 - 05:17:25 EST

Hi,

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

> KPSS.test(df)

• ---- KPSS test
• ---- Null hypotheses: Level stationarity and stationarity around a linear trend. Alternative hypothesis: Unit root.
Statistic for the null hypothesis of level stationarity: 1.089 Critical values: 0.10 0.05 0.025 0.01 0.347 0.463 0.574 0.739
Statistic for the null hypothesis of trend stationarity: 0.13 Critical values: 0.10 0.05 0.025 0.01 0.119 0.146 0.176 0.216
Lag truncation parameter: 1

CONCLUSION: Reject Ho at 0.05 sig level - Level Stationary

Fail to reject Ho at 0.05 sig level - Trend Stationary

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 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?

Sachin

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