Kwiatkowski et al. Unit Root Test

Performs the KPSS unit root test, where the Null hypothesis is stationarity. The test types specify as deterministic component either a constant "mu" or a constant with linear trend "tau".

Usage

ur.kpss(y, type = c("mu", "tau"), lags = c("short", "long", "nil"),
        use.lag = NULL)

Arguments

y: Vector to be tested for a unit root.
type: Type of deterministic part.
lags: Maximum number of lags used for error term correction.
use.lag: User specified number of lags.

Details

lags="short" sets the number of lags to \(\sqrt[4]{4 \times (n/100)}\), whereas lags="long" sets the number of lags to \(\sqrt[4]{12 \times (n/100)}\). If lags="nil" is choosen, then no error correction is made. Furthermore, one can specify a different number of maximum lags by setting use.lag accordingly.

Value

An object of class ur.kpss.

References

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.

Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

Author

Bernhard Pfaff

Examples

data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
gnp.l <- log(gnp)
kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short")
summary(kpss.gnp)
#> 
#> ####################### 
#> # KPSS Unit Root Test # 
#> ####################### 
#> 
#> Test is of type: tau with 3 lags. 
#> 
#> Value of test-statistic is: 0.1976 
#> 
#> Critical value for a significance level of: 
#>                 10pct  5pct 2.5pct  1pct
#> critical values 0.119 0.146  0.176 0.216
#>