[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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