Waichler, Scott R
2005-May-02 21:43 UTC
[R] Trying to understand kpss.test() in tseries package
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
Achim Zeileis
2005-May-03 09:46 UTC
[R] Trying to understand kpss.test() in tseries package
On Mon, 02 May 2005 14:43:02 -0700 Waichler, Scott R wrote:> > 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"?No, every level stationary series is also trend stationary (with a zero trend). Hence, the test statistic is even smaller for null = "Trend" because first the trend is removed (which is not exactly zero due to random variation). Z> 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 > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html >