is that 'x' is level or trend stationary. I did this
> s<-rnorm(1000)
> kpss.test(s)
KPSS Test for Level Stationarity
data: s
KPSS Level = 0.0429, Truncation lag parameter = 7,
p-value = 0.1
Warning message:
p-value greater than printed p-value in:
kpss.test(s)
My question is whether p=0.1 is a good number to
reject
N0? On the other hand, I have a series r and did the
following:
> plot.ts(r)
> kpss.test(r)
KPSS Test for Level Stationarity
data: r
KPSS Level = 3.1955, Truncation lag parameter = 7,
p-value = 0.01
Warning message:
p-value smaller than printed p-value in:
kpss.test(r)
So this says we can have more confidence in saying r
is _not_ stationary? Should I worry about the
warnings?
Thanks very much.
Weiguang
The null hypothesis in kpss test (kpss.test())
3 messages · Weiguang Shi, Achim Zeileis
As help(kpss.test) tells you: kpss.test() approximates the p values by interpolation from a simulated table of critical values. As p values larger than 0.1 are typically regarded to be non-significant and p values smaller than 0.01 are typically regarded to be highly significant, the corresponding critical values are only stored for the range 0.1 to 0.01. Hence...
On Tue, 8 Mar 2005 12:51:37 -0500 (EST) Weiguang Shi wrote:
is that 'x' is level or trend stationary. I did this
> s<-rnorm(1000) > kpss.test(s)
KPSS Test for Level Stationarity
data: s
KPSS Level = 0.0429, Truncation lag parameter = 7,
p-value = 0.1
Warning message:
p-value greater than printed p-value in:
kpss.test(s)
My question is whether p=0.1 is a good number to
reject N0?
...stationarity cannot be rejected here (which is not surprising) and...
On the other hand, I have a series r and did the following:
> plot.ts(r) > kpss.test(r)
KPSS Test for Level Stationarity
data: r
KPSS Level = 3.1955, Truncation lag parameter = 7,
p-value = 0.01
Warning message:
p-value smaller than printed p-value in:
kpss.test(r)
...stationarity is clearly rejected here.
So this says we can have more confidence in saying r is _not_ stationary?
Yes (I guess. I'm not sure about `more confidence'...`more' than what?) Z
Should I worry about the warnings? Thanks very much. Weiguang
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Understood! And thanks! Weiguang --- Achim Zeileis <Achim.Zeileis at wu-wien.ac.at> wrote:
As help(kpss.test) tells you: kpss.test() approximates the p values by interpolation from a simulated table of critical values. As p values larger than 0.1 are typically regarded to be non-significant and p values smaller than 0.01 are typically regarded to be highly significant, the corresponding critical values are only stored for the range 0.1 to 0.01. Hence...