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The null hypothesis in kpss test (kpss.test())

3 messages · Weiguang Shi, Achim Zeileis

#
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
#
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:

            
...stationarity cannot be rejected here (which is not surprising) and...
...stationarity is clearly rejected here.
Yes (I guess. I'm not sure about `more confidence'...`more' than what?)
Z
#
Understood!
And thanks!

Weiguang

 --- Achim Zeileis <Achim.Zeileis at wu-wien.ac.at>
wrote: