Message-ID: <20050314184812.26cb6fcb.Achim.Zeileis@wu-wien.ac.at>
Date: 2005-03-14T17:48:12Z
From: Achim Zeileis
Subject: confidence level of kpss test
In-Reply-To: <000601c528bc$5c0ce9c0$87bc16ac@gmv.es>
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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> Gracias por su colaboracion.
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