[R] Trying to understand kpss.test() in tseries package
Waichler, Scott R
Scott.Waichler at pnl.gov
Mon May 2 23:43:02 CEST 2005
I'm trying to understand how to use kpss.test() properly. If I have a
level stationary series like rnorm() in the help page, shouldn't I get a
small p-value with the null hypothesis set to "Trend"? The (condensed)
output from kpss.test() for the two possible null hypotheses is given
below. I don't see any significant difference between these results.
> x <- rnorm(1000) # is level stationary
> kpss.test(x, null="Level")
KPSS Test for Level Stationarity
KPSS Level = 0.0638, Truncation lag parameter = 7, p-value = 0.1
Warning: p-value greater than printed p-value
> kpss.test(x, null="Trend")
KPSS Test for Trend Stationarity
KPSS Trend = 0.0275, Truncation lag parameter = 7, p-value = 0.1
Warning: p-value greater than printed p-value
I can't get the original reference easily.
Scott Waichler
Pacific Northwest National Laboratory
scott.waichler at pnl.gov
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