Grocer Function
NAME
kpss - KPSS unit root test
CALLING SEQUENCE
[result]=kpss(namey,t,l)
PARAMETERS
Input
-
namey
: a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes
-
t
: order of time polynomial in the null-hypothesis
-
p = 0, for constant term
p = 1, for constant plus time-trend
-
l
: (optional) truncation lag of the Newey-West window default: l= floor(5*nobs^0.25)
Output
-
results tlist with:
- result('meth') = 'kpss'
- result('namey') = namey
- result('y') = y
- result('t') = t
- result('lag(N_W)') = l
- result('test_value') = lm
- result('prests') = prests
- result('bounds') = bounds
DESCRIPTION
Computes Kwiatkowski, Phillips, Schmidt, Shin stationarity test.
EXAMPLE
1) kpss('lm1',0)
2) kpss('lm1',1)
Examples taken from function kpss_d. Provide KPSS test for
variable lm1 taken from data base hendryericsson, with no time trend
and a simple time trend respectively.
AUTHOR
Eric Dubois 2002