Kpss Test In R

Each row is the test results including lag parameter test statistic and pvalue for each. A matrix for test results with three columns lag kpss pvalue and three rows type1 type2 type3.

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Where u t satisfies u t u t.

Kpss test in r. Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. Journal of Econometrics 54 159178. If lshort is TRUE then the truncation lag parameter is set to trunc 4 n100025 otherwise trunc 12 n100025 is used.

The Kwiatkowski-Phillips-Schmidt-Shin KPSS test tends to decompose the time series into the sum of a deterministic trend a random walk and a stationary error. To estimate sigma2 the Newey-West estimator is used.

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