Trying to understand kpss.test() in tseries package
On Mon, 02 May 2005 14:43:02 -0700 Waichler, Scott R wrote:
I'm trying to understand how to use kpss.test() properly. If I have a level stationary series like rnorm() in the help page, shouldn't I get a small p-value with the null hypothesis set to "Trend"?
No, every level stationary series is also trend stationary (with a zero trend). Hence, the test statistic is even smaller for null = "Trend" because first the trend is removed (which is not exactly zero due to random variation). Z
The (condensed) output from kpss.test() for the two possible null hypotheses is given below. I don't see any significant difference between these results.
x <- rnorm(1000) # is level stationary kpss.test(x, null="Level")
KPSS Test for Level Stationarity KPSS Level = 0.0638, Truncation lag parameter = 7, p-value = 0.1 Warning: p-value greater than printed p-value
kpss.test(x, null="Trend")
KPSS Test for Trend Stationarity KPSS Trend = 0.0275, Truncation lag parameter = 7, p-value = 0.1 Warning: p-value greater than printed p-value I can't get the original reference easily. Scott Waichler Pacific Northwest National Laboratory scott.waichler at pnl.gov
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