confidence level of kpss test
On Mon, 14 Mar 2005 18:36:30 +0100 Bel?n Mart?n Peiro wrote:
Dear All, I am trying to use kpss.test function so as to perform a stationarity test on a data sample. Is it possible to know the associated confidence level for this test?
As for most other tests implemented in R, a p value is reported so you can use a confidence level of your choice. For some of the tests you mention, the p values are approximated from tables of simulated asymptotic critical values in the range of 0.1 and 0.01. You won't obtain smaller or larger p values and can therefore use only confidence levels within that range. Z
I have not seen any arguments related to it. I had a look at some other tests included in R (adf.test, pp.test, ks.test ...) and I could not find this information for them. Thanks in advanced. Kind regards, Bel?n
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