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Questions tagged [kpss-test]

Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test is used to analyze time series. The null hypothesis is that the time series is stationary. It is often used to complement an Augmented Dickey Fuller (ADF) test.

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How does KPSS test for stationarity if it is about trend stationarity vs unit roots?

ADF Test: Null Hypothesis: The series has a unit root. Alternate Hypothesis: The series has no unit root. KPSS test: Null Hypothesis: The process is trend stationary. Alternate Hypothesis: The ...
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Use KPSS test with all lags

I have a series with N observation, I want to test the whole series for stationarity with KPSS. However I noticed that when run with all lags, the KPSS test always ...
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Counter-intuitive results from kpss test (Kwiatkowski–Phillips–Schmidt–Shin), on perfectly linear series

I would assume that a perfectly linear time series would exhibit trend-stationarity. This is not what I find when I use run this test in both Python and R. The KPSS test for stationarity around a ...
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Difference between Trend and Level stationarity

In R KPSS test, what is meaning of level and trend stationarity? As far as I have read, trend stationarity means that once you remove the trend, the process becomes stationary. Is this the correct ...
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ADF & KPSS Test Reporting Series as I(19)

I am currently attempting to determine the order of integration for a nonstationary time series of the Federal Funds Rate (https://fred.stlouisfed.org/series/FEDFUNDS - Monthly, 1990 to 2004, 168 obs.)...
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KPSS test with Bonferroni Correction. alpha < 0.01

I want to apply a Bonferroni correction on multiple KPSS tests for stationarity. I have $m$ tests, and so I want to see if the p-values are less than $0.01/m$. The problem is that the statistical ...
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Stationarity in an interrupted time series

I am using proc autoreg in SAS to conduct an ITS analysis and I have a question about stationarity. Proc autoreg is able to ...
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ADF and KPSS test both conclude stationarity but the time series has trend?

I am trying to implement time series stationarity tests on my data. When I carry out ADF (Augmented Dickey-Fuller) and KPSS tests on my data the p values suggest time series stationarity. However, ...
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3 votes
2 answers
551 views

Using KPSS test in Python with statsmodels

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How is it possible that the statsmodels KPSS test rejects trend-stationarity but not stationarity?

take the time series in the code block below - if I run a KPSS test using statsmodels based on a regression around a constant (i.e. test for regular stationarity), ...
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Stationarity of time series with KPSS test

I have dataset with size 4630 and I used KPSS test to check if it is stationary or not. I get on this output, Is that mean the value of p_value is not correct? or how can test large values with kpss ...
ayla's user avatar
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Order of integration for a time series with constant mean and increasing variance

I am trying to find the order of integration of a time series. I checked for stationarity using the ADF and KPSS tests. Both the tests indicated non-stationarity, so I differenced the series once and ...
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Cointegration between 2 Stocks. - confirming Times Series Stationarity using ADF & KPSS Test

I had created a google sheet with the help of online resources, - to conduct cointegration test on 2 stocks time series. It checks null hypothesis, to see that a unit root is present on the residual ...
R Upadhyay's user avatar
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Testing by using KPSS

When use KPSS to test the stationarity of data series I get this warning .Does it affect the final results? ...
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determine if series is non-stationary or stationery

I have series and I need to determine if the series is stationary or non-stationary. According to this web page Link, is prefer to use the ADF and KPSS and then judge on the series. My result of ADF ...
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Test to show that the underlying process of two non-stationary time-series are different?

Let's say I have carried out two experiments where something was changed in one compared to the other. I measure a feature in each experiment and therefore have the two time series for this feature, ...
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Stationary in levels I(0), three variables -- cointegration test?

After running ADF-tests and kpss-test I find that the variables are stationary without drift and trend. I have two questions: Is it the correct use of terminology to say that they are not integrated, ...
Tomas R's user avatar
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What to do when kpss contradicts ADF?

I'm testing to see if Inflation has a unit root and if it has a drift and trend, just drift or no drift and trend. My results from the ADF test looks like this: ...
Tomas R's user avatar
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The contradiction in KPSS and HEGY test

I am new to this field and I have a question. I have a seasonal rainfall dataset and I want to apply SARIMA model on it. For this purpose, I applied the KPSS tests and I got the following output: <...
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ADF Test and KPSS Test contradicting, differencing wont make the time series stationary

My time series is on Life expectancy at birth from 1960 to 2018. Obviously, it has an increasing trend and ACF also supports this because the ACF values dampen so slowly. However, ADF test p-value is ...
Francis's user avatar
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KPSS test: p-value greater than 0.05 but test statistic is less than critical values

I am using Python Statsmodels to find out if my time series is stationary or not. My time series (after the first level shift) passed the ADF test and it suggested that the time series is stationary. ...
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Kwiatkowski–Phillips–Schmidt–Shin (KPSS) and Augmented Dickey–Fuller (ADF) Tests

I have been searching for a sample usage of the KPSS and ADF tests, however I can only find pages reporting examples using R or Python. The mathematical definition of the KPSS test also seems to be ...
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How to assess stationarity when kpss and dickey-fuller test give conflicting results?

I have used R to test the residuals of my time series data, I have used the tseries function for the kpss and dickey fuller test. Both gave conflicting results where dickey fuller said the data was ...
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Time series regressions

I'm trying to make a basic scatter plot/regression to look at the relationship between two time series. Series a is volume of mentions of a product on a forum over time, series b is the sales of the ...
user1200's user avatar
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1 answer
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Evaluating the importance of a unit-root

I have a monthly time series and I'm trying to determine if such set of data is stationary or not; the dataset is about composed by 160 record. Specifically, I'm running 2 test found in literature: ...
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KPSS test and heteroscedasticity

I am trying to transform a time series to make it stationary. After two differencings it looks like this: KPSS test value is 0.01075801 with p-value=0.1, so the stationarity is not rejected. But just ...
Dmitry Shopin's user avatar
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310 views

kpss test always gives a very low P value

I have tried to use kpss.test() function in R, but it's output confused me a lot. So I tried the below code: ...
Yang Kewen's user avatar
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220 views

Can a ratio variable be trend stationary?

Can a ratio variable, e.g. the wage share of factor incomes, really be trend stationary? It is bounded between 0 and 1 and moves in between during long periods, acting like a non-stationary variable. ...
Lars Ahnland's user avatar
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Can adf test and kpss test contradict?

I have a time series data for 18 months. To check for stationary I conducted adf test, to which my p value is 0.8. And kpss test has a p value of 0.1 , so at 95% confidence level I fail to reject null ...
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Is my interpretation of ADF and KPSS correct?

I am new to time series analysis, and I am trying to interpret the ADF and KPSS results. Is my interpretation of stationary correct? ...
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2 answers
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Is my Data stationary? KPSS, ADF Tests and ACF

I already differenced my Data by 1 and i am not sure whether my Data is now stationary or not. I perfomed an KPSS and ADF test in order to help me decide if it is. I think it is stationary but im not ...
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1 answer
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KPSS: Difference between level stationary and trend stationary

Can anyone please clarify for me the differences between level stationary and trend stationary in KPSS test? I run the KPSS test with trend and level on same time series and the results are: H0: ...
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differencing in sARIMA models

Im currently trying to fit unemployment data to a sARIMA model. Unemployment has usual yearly seasonal trends so a seasonal difference is given. Log transformation is applied to minimize the errors ...
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1 answer
307 views

How to check if a process has constant variance?

I am using KPSS test to verify if my process has constant variance around the mean, but I am not sure if this is the correct test for my case. In KPSS the null hypothesis is that the process is ...
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What does my ACF test tell me about numbers to use in ARMA?

Images I want to use an ARMA model for seasonally adjusted quarterly GDP growth figures and then check for structural breaks. I've run an ACF, PACF, kpss and adf test on the data I have, and you can ...
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How to interpret KPSS test

I have been trying to understand the kpss test and I have read this answer and have been reading information from this KPSS Test: Definition and Interpretation , but am still confused about my own ...
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Arima - Tests detect nonseasonality of time series

I have a following time series: ...
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Confused on kpss.test shows both "Trend" and "Level" are smaller than p-value R

I am fairly new to time series analysis. I am using hourly data for six months time period. My time series has seasonality every week. Per Dr.Robert Hyndman I set up my time series variable and then ...
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How do I tell that my time series is stationary or not?

I am new to time series analysis and I am trying to model a time series. I know there are similar questions but I could not figure out the solution to my problem. I have a time series like the one ...
Dhineshkumar's user avatar
3 votes
2 answers
7k views

Stationarity tests in a regression model [closed]

In a model I am trying to justify, a mortgage rate spread is estimated by regression on a swap spread using around 40 monthly data-points. The model fails the assumptions of heteroskedasticity and ...
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KPSS test & ADF test - range to choose for lags

Suppose I want to check if a series is stationary with the KPPS test; the literature suggests to take as lags $\sqrt n$ where $n$ is the number of observations. Do you agree with the literature? Which ...
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3 answers
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Bounded dependent variable: can it be unit-root non-stationary?

I have linear time series regression model where the dependent variable Y is bounded between 0 and 1. Using classical unit root tests (dickey-fuller and kpss), results would make you conclude that Y ...
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Matlab - kpsstest

If I have: a=randn(100,1) [h,p] = kpsstest(a,'lags',0:10) why does the test fail to reject the nonstationarity hypothesis? It gives back ...
Klapaucius's user avatar
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4 answers
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Contradictory results of ADF and KPSS unit root tests

To check whether the data is stationary or not, I computed KPSS and ADF test and got the following results ...
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ADF and KPSS test both rejected

When testing the stationarity of residuals after OLS estimation, the ADF and KPSS test have opposing conclusions when it comes to rejecting the null: ADF: Rejection of null concludes evidence of ...
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3 answers
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Seasonal data deemed stationary by ADF and KPSS tests

I have got two time series and I want to evaluate a VAR model. For this, it is necessary that both time series are stationary. Using R, I have found periodicity ...
T. Beige's user avatar
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Contradiction in the ADF (Augmented Dickey-Fuller) and KPSS (Kwiatkowski–Phillips–Schmidt–Shin) tests for financial time series

I use the ADF and KPSS to test for stationarity / non-stationarity of price increments in financial time series. The two test applied provide different results for low lags, but the same result for ...
Reinhard Fellmann's user avatar
4 votes
1 answer
4k views

R: Box.test vs adf.test vs kpss.test

I stuck in checking my Time Seies for stationarity with several tests: ...
Nick Nikolaev's user avatar
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1 answer
137 views

Fractional Gaussian noise, the KPSS test, and stationarity

Fractional Gaussian noise (fGn) is characterized by the mean ($\mu$), the standard deviation ($\sigma$), and the Hurst index ($H$). It's my understanding that it is stationary, for the simple reason ...
Cyberneurons's user avatar
5 votes
3 answers
2k views

Unit root tests ambiguous - is time series stationary?

I am testing a time series (quarterly) for stationarity. However, using the KPSS test, the ADF test and PP test, I get different results (ADF and PP reject non-stationarity, KPSS rejects stationarity, ...
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