[R] The null hypothesis in kpss test (kpss.test())

Weiguang Shi wgshi2001 at yahoo.ca
Tue Mar 8 18:51:37 CET 2005


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




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