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kpss

KPSS unit root test

CALLING SEQUENCE

[result]=kpss(namey,t,l)

PARAMETERS

Input

• namey: a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes

• t: order of time polynomial in the null-hypothesis

 - t = 0, for constant term

 - t = 1, for constant plus time-trend

• l: (optional) truncation lag of the Newey-West window (default: l= floor(5*nobs^0.25))

• arg1,…,argn = optional arguments which can be:

  - 'noprint' if the user doesn't want to print the results of the regression

   - 'dropna' if the user wants to remove the NA values from the data

Output

• results = a results tlist with:

  - result('meth') = 'kpss'

  - result('namey') = namey

  - result('y') = y

  - result('t') = t

  - result('lag(N_W)') = l

  - result('test_value') = lm

  - result('prests') = prests

  - result('bounds') = bounds

  - result('dropna') = boolean indicating if NAs have been droped

  - result('nonna') = vector indicating position of non-NA values (if the option 'dropna' was active)

DESCRIPTION

Computes Kwiatkowski, Phillips, Schmidt, Shin stationarity test.

EXAMPLE

load(GROCERDIR+'/data/bdhenderic.dat');
bounds('1964q3','1989q2');
kpss('lm1',0)
kpss('lm1',1)
// Examples taken from function kpss_d. Provide KPSS test for variable lm1 taken from data base hendryericsson, with no time trend and a simple time trend respectively.

AUTHOR

Eric Dubois 2002-2007

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