about kpss.test()
On Wed, 9 Mar 2005 14:32:09 -0500 (EST) Weiguang Shi wrote:
--- Achim Zeileis <Achim.Zeileis at wu-wien.ac.at> wrote:
First of all, could you tell me what the "KPSS
Level"
in the output of the test means?
Thanks. But I meant to also ask about the number after
that, e.g.,
KPSS Level = 0.0027
If you wouldn't have deleted my reply to that question, you could still see the answer! It was: <quote> It means that you tested for level stationarity and gives you the test statistic. </quote> Note the second half of the sentence.
Please check the references of kpss.test or any book on economectric time series analysis for which alternatives the KPSS test was designed.
Will soon do.
Hint: it's not designed for detecting cyclical variations.
OK. I guess there must be some pre-requisite on the data before kpss-ing it.
In particular it means: There are infinitely many conceivable ways of deviation from stationarity and the KPSS test is only good at detecting certain kinds of deviation (which do not include cyclical variations). Z