Displaying 20 results from an estimated 1100 matches similar to: "The null hypothesis in kpss test (kpss.test())"
2005 Mar 09
1
about kpss.test()
Hi All,
First of all, could you tell me what the "KPSS Level"
in the output of the test means?
I have a series, x, of periodic data and tried
kpss.test() on it to verify its stationarity. The
tests
gave me the p-value above 0.1. Since the null
hypothesis N0 is that the series _is_ stationary, this
means that I cannot reject N0. But the series does
look
periodic!
So does all this
2006 Jul 06
2
KPSS test
Hi,
Am I interpreting the results properly? Are my conclusions correct?
> KPSS.test(df)
---- ----
KPSS test
---- ----
Null hypotheses: Level stationarity and stationarity around a linear trend.
Alternative hypothesis: Unit root.
----
Statistic for the null hypothesis of
level stationarity: 1.089
Critical values:
0.10 0.05 0.025 0.01
0.347 0.463
2005 May 02
1
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 <-
2007 Dec 08
2
time series tests
Hi all,
Can anyone clear my doubts about what conclusions to take with the following what puts of some time series tests:
> adf.test(melbmax)
Augmented Dickey-Fuller Test
data: melbmax
Dickey-Fuller = -5.4075, Lag order = 15, p-value = 0.01
alternative hypothesis: stationary
Warning message:
p-value smaller than printed p-value in: adf.test(melbmax)
2008 Jan 10
1
question regarding kpss tests from urca, uroot and tseries packages
Hi R users!
I've come across using kpss tests for time series analysis and i have a question that troubles me since i don't have much experience with time series and the mathematical part underlining it.
x<-c(253, 252, 275, 275, 272, 254, 272, 252, 249, 300, 244,
258, 255, 285, 301, 278, 279, 304, 275, 276, 313, 292, 302,
322, 281, 298, 305, 295, 286, 327, 286, 270, 289, 293, 287,
2006 Jul 06
1
Access values in kpssstat-class
Hi,
How can I access the Values stored in kpssstat-class given by KPSS.test function and store it in a variable.
For example:
>x <- rnorm(1000)
>test <- KPSS.test(ts(x))
>test
---- ----
KPSS test
---- ----
Null hypotheses: Level stationarity and stationarity around a linear trend.
Alternative hypothesis: Unit root.
----
Statistic for the null
2005 Mar 14
2
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
2005 Mar 25
0
questions on ARMA and KPSS
Hi,
I have been fitting a series of data representing
a week of Internet traffic (which is daily seasonal
and have a general trend toward lower rate at the
weekends).
Before I do the ARMA fit (which takes care of
seasonality with a lag equal to one day), do I
have to make sure the data is stationary? From the
results and visually, it seems that this was taken
care of. But the residual
2004 Oct 13
4
incomplete function output
Dear R users,
I have a function (below) which encompasses several tests.
However, when I run it, only the output of the last test is
displayed. How can I ensure that the function root(var)
will run and display the output from all tests, and not
just the last one?
Thank you,
b.
root <- function(var)
{
#---Phillips-Perron
PP.test(var, lshort = TRUE)
PP.test(var, lshort = FALSE)
2008 Jan 21
4
Stationarity of a Time Series
Does anyone know of a test for stationarity of a time series, or like
all ordination techniques it is a qualitative assessment of a
quantitative result. Books, papers, etc. suggestions welcome.
thanks
Stephen
--
Let's not spend our time and resources thinking about things that are
so little or so large that all they really do for us is puff us up and
make us feel like gods. We are
2005 Jan 25
4
agglomerative coefficient in agnes (cluster)
I haven't read the book, but could anyone explain more
about this parameter?
help(agnes) says that ac measures the amount of
clustering structure found. From the definition given
in help(agnes.object), however, it seems that as long
as
the dissimilarity of the merger in the final step of
the
algorithm is large enough, the ac value will be close
to
1. So what does ac really mean?
Thank
2003 Apr 17
2
Testing for Stationarity of time series
Hi there,
Does anyone know if R has a function for testing whether a time series is
stationary??
Thanks in advance,
Wayne
Dr Wayne R. Jones
Statistician / Research Analyst
KSS Group plc
St James's Buildings
79 Oxford Street
Manchester M1 6SS
Tel: +44(0)161 609 4084
Mob: +44(0)7810 523 713
KSS Ltd
A division of Knowledge Support Systems Group plc
Seventh Floor St James's
2008 Jun 26
1
stationary "terminology" time series question
This is not exactly an R question but the R code below may make my
question more understandable.
If one plots sin(x) where x runs from -pi to pi , then the curve hovers
around zero obviously. so , in a"stationary in the mean" sense,
the series is stationary. But, clearly if one plots the acf, the
autocorrelations at lower lags are quite high and, in the "box jenkins"
2011 Nov 06
1
VAR and VECM in multivariate time series
Hello to everyone!
I am working on my final year project about multivariate time series. There
are three variables in the multivariate time series model.
I have a few questions:
1. I used acf and pacf plot and find my variables are nonstationary. But in
adf.test() and pp.test(), the data are stationary. why?
2.I use VAR to get a model. y is the matrix of data set and I have made a
once
2008 May 31
0
KPSS test - Lag selection
Hello everyone!
Quite a similar question has been posed here some time ago, but there was no
explicit solution offered. So I hope that it is OK to pose it again.
I want to perform a KPSS test using the packages "urca" or "tseries". But I
neither want to use the predefined lag structures, "short" and "long", nor
specify the number of lags arbitrarily by
2009 May 20
1
stationarity tests
How can I make sure the residual signal, after subtracting the trend extracted through some technique, is actually trend-free ?
I would greatly appreciate any suggestion about some Stationarity tests.
I'd like to make sure I have got the difference between ACF and PACF right.
In the following I am citing some definitions. I would appreciate your thoughts.
ACF(k) estimates the correlation
2009 Nov 10
0
How to do ADF test and KPSS test in R
Dear all,
How to do ADF test ¡¢KPSS¡¢ PP¡¢GLS test in R£¿
Thanks a lot !
[[alternative HTML version deleted]]
2005 Jan 25
1
Zipf random number generation
Hi,
Is there a Zipf-like distribution RNG in R?
Thanks,
Weiguang
2007 May 15
1
urca package - summary method -
Hi
I am using the package urca and I am interested about the KPSS test.
That works fine except the method "summary" did not work in the script,
only when it is typed direct in the console the results are shown( not a
source file).
Is there any problem with these method ?
2007 Aug 16
2
ADF test
Hi all,
Hope you people do not feel irritated for repeatedly sending mail on Time series.
Here I got another problem on the same, and hope I would get some answer from you.
I have following dataset:
data[,1]
[1] 4.96 4.95 4.96 4.96 4.97 4.97 4.97 4.97 4.97 4.98 4.98 4.98 4.98 4.98 4.99 4.99 5.00 5.01
[19] 5.01 5.00 5.01 5.01 5.01 5.01 5.02 5.01 5.02 5.02 5.03 5.03 5.03