R help - Mar 2005 - confidence level of kpss test

Dear All,

I am trying to use kpss.test function so as to perform a stationarity test on a
data sample. Is it possible to know the associated confidence level for this
test? I have not seen any arguments related to it.
I had a look at some other tests included in R (adf.test, pp.test, ks.test ...)
and I could not find this information for them.

Thanks in advanced. Kind regards,

Belén
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This message including any attachments may contain confident...{{dropped}}

On Mon, 14 Mar 2005 18:36:30 +0100 Bel?n Mart?n Peiro wrote:
> Dear All,
> 
> I am trying to use kpss.test function so as to perform a stationarity
> test on a data sample. Is it possible to know the associated
> confidence level for this test?
As for most other tests implemented in R, a p value is reported so you
can use a confidence level of your choice. For some of the tests you
mention, the p values are approximated from tables of simulated
asymptotic critical values in the range of 0.1 and 0.01. You won't
obtain smaller or larger p values and can therefore use only confidence
levels within that range.
Z
> I have not seen any arguments related to it.
> I had a look at some other tests included in R (adf.test, pp.test,
> ks.test ...) and I could not find this information for them.
> 
> Thanks in advanced. Kind regards,
> 
> Bel?n
> ______________________
> Este mensaje, y en su caso, cualquier fichero anexo al mismo,
>  puede contener informacion clasificada por su emisor como
>  confidencial en el marco de su Sistema de Gestion de Seguridad de la 
> Informacion siendo para uso exclusivo del destinatario, quedando 
> prohibida su divulgacion copia o distribucion a terceros sin la 
> autorizacion expresa del remitente. Si Vd. ha recibido este mensaje 
>  erroneamente, se ruega lo notifique al remitente y proceda a su
>  borrado. 
> Gracias por su colaboracion.
> ______________________
> This message including any attachments may contain\ > conf...{{dropped}}

I ***do*** wish people wouldn't say ``confidence level'' when they
mean ``significance level''.  Confidence level refers to estimation
and significance level to hypothesis testing.  The two are closely
related but do not pack the same freight.

Moreover, if one indeed wishes to conflate the two ideas, the
confidence level of an estimation procedure is

		***one minus***

the significance level of the corresponding hypothesis test.

				cheers,

					Rolf Turner
					rolf at math.unb.ca