[R] about kpss.test()

[Achim Zeileis]

On Wed, 9 Mar 2005 13:31:16 -0500 (EST) Weiguang Shi wrote:

> Hi All,
> 
> First of all, could you tell me what the "KPSS Level" 
> in the output of the test means?

It means that you tested for level stationarity and gives you the test
statistic.

> I have a series, x, of periodic data and tried 
> kpss.test() on it to verify its stationarity. The

Note that stationarity is the null hypothesis and not the alternative of
the KPSS test.

> 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 say stationarity and periodicity can 
> co-exist?

Please check the references of kpss.test or any book on economectric
time series analysis for which alternatives the KPSS test was designed.
Hint: it's not designed for detecting cyclical variations.
Z
 
> Thanks,
> Weiguang
> 
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