[R] confidence level of kpss test

[Achim Zeileis]

On Mon, 14 Mar 2005 18:36:30 +0100 Belén Martín 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,
> 
> Belén
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> Gracias por su colaboracion.
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