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Questions tagged [kpss-test]

Kwiatkowski-Philips-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 ADF test.

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KPSS test with different results for trend and single mean models

I am having some dilemma while interpreting my KPSS stationarity test. As in the image below, null is rejected for single mean model while not for trend model. Does it mean "after considering the ...
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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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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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282 views

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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1answer
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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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1answer
61 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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1answer
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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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1answer
3k views

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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1answer
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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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1answer
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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 ...
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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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243 views

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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563 views

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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1answer
426 views

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 ...
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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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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 ...
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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 ...
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1answer
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R: Box.test vs adf.test vs kpss.test

I stuck in checking my Time Seies for stationarity with several tests: ...
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1answer
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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 ...
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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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1answer
313 views

How can this time series be stationary?

I have the following irregularly spaced time series. The related autocorrelogram is: and I run the following tests: ...
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1answer
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kpss test in eviews

I am taking 5% critical values for adf pp and za. In kpss test critical value is passing from 1% but not from 5% so is it stationary or not also when take differences of series first and second ...
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Interpretation of ADF(Augmented Dickey-Fuller) and KPSS (Kwiatkowski–Phillips–Schmidt–Shin) tests for time series

Can anyone please clarify for me the differences between ADF (Augmented Dickey-Fuller) and KPSS (Kwiatkowski–Phillips–Schmidt–Shin) tests in testing the stationarity of a time series? I tested my ...
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Interpretation of ADF(Augmented Dickey-Fuller) and KPSS(Kwiatkowski–Phillips–Schmidt–Shin) tests for time series [duplicate]

Can anyone please clarify for me the differences between ADF(Augmented Dickey-Fuller) and KPSS (Kwiatkowski–Phillips–Schmidt–Shin) tests in testing the stationarity of a time series? I tested my time ...
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878 views

Confusing results on kpss.test() for stationarity

I've got a dataset which clearly shows a trend. However, I want to assess whether this trend is deterministic or stochastic. If I understood it right, I would need to use differences if the trend is ...
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408 views

Are the data stationary or non-stationary and seasonality?

I want to use Arima model for forecasting wind speed. I plot my data. Then I plot ACF and PACF. I used ADF test and KPSS test and they said that data are stationary and does not need differencing ...
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Interpretation of ADF Test

I am doing the augumented Dickey-Fuller test to check if my series are stationary or not. ...
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1answer
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KPSS test outputs and DF test interpretation

I am running a Kwiatkowski–Phillips–Schmidt–Shin test (KPSS test) in R (urca::ur.kpss). However, I am quite unsure if it is performed correctly, because the ...
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1answer
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P-value of Augmented Dickey-Fuller test and KPSS test

I would like to test if the time series of the US 3-month treasury bills (monthly data from 1934 to 2015) is stationary. I'm using the ADF test in R (from the package ...
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1answer
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Is there an optmal lag choice in the KPSS test?

Is there an optimal lag choice in the KPSS test in Stata? For instance, in my example below, for some lags (less than 7) you reject the null for any level of significance. But afterwards, that does ...
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Interpreting results of KPSS test in R

I've been trying to create an ARIMA model however, I'm not sure how to determine if the data is stationary or not. I preformed a KPSS test in R using kpss.test from ...
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1answer
662 views

Unit Root testing and stationarity of a time series

I'm trying to understand: how is check for stationarity(or lack thereoff) linked to unit root testing. More so the logic of it. i understand the null hypothesis used in adf or kpss but I need the ...
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Is my time series stationary?

I am using R and have found that both KPSS ( Kwiatkowski-Phillips-Schmidt-Shin ) and the adf (Dickey-Fuller) tests indicate stationarity, having a p-value of 0.01. Here is a plot of the original data:...
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Best practice for ADF/KPSS unit root testing sequence?

I've been quite confused by the various unit root testing strategies recommended in the literature, so I was hoping others may have some advice on the best way to proceed using ADF and KPSS tests. ...
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1answer
250 views

Stationarity consideration in ARIMA using KPSS test

I have data, which I am sure has a downward trend. I am trying to forecast this data using ARIMA and I want ARIMA to consider the trend when it is forecasting. The first step in ARIMA is to ...
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178 views

Time series and stationarity tests

I perform some time series fitting with the help of the forecast and urca packages. I have a question regarding the corespondance between results coming from ...
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2answers
3k views

ADF test, PP test, KPSS test: Which test to prefer?

If a time series is tested for Unit Root (by ADF, PP, KPSS,...) problem is detected with some tests and not found by others. Which one is preferred? For example if ADF says us that there is a Unit ...
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2answers
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How to determine correlation between stationary and non-stationary time series

I have three time series of economic data based on quarterly observations; A, B and C, and I would like to ascertain the correlation (or not) between A and C as well as the correlation between B and S....
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540 views

About 2 unit root tests and null hypothesis

I have been looking at unit root testing. Specifically 2 tests: The ADF test. The ADF (augmented Dickey Fuller) test has the null hypothesis that "the time series has a unit root" (meaning that the ...
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1answer
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KPSS test - output interpretation in stata

I did KPSS test for some variables in stata to check for stationarity; I want to interpret the the stata outputs, but I don't know how to do that. For instance, in the following case: ...
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1answer
372 views

MA on a non-stationary time series

I have some data I would like to do some simple forecasting on. Its is non-stationary, looking at the time plot & from ADF & KPSS tests. After differencing I now have a stationary series. I ...
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192 views

Practical time series advice

I have collected performance data at fixed time intervals from a 'shared system' with the aim of investigating the affect of the sharing on the performance of my 'slice' of the system. The performance ...
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1answer
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What are the assumptions for checking the stationarity of a time series?

I am checking stationarity or non-stationarity of a time series with R and I am using adf.test and kpss.test in ...
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453 views

Unit root tests and stationarity

Two common methods of testing whether a time series is stationary are the KPSS and ADF tests. If my understanding is correct, these tests essentially work by measuring the residuals of fitting the ...
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1answer
205 views

KPSS test for large samples

I am trying to interpret some KPSS results for a large sample (n=1800 - http://data.is/TB2z5b). In general the KPSS test can be used for samples with time series with more than 100 observations? Is ...
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What is the difference between a stationary test and a unit root test?

What is the difference between the Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test and the augmented Dickey-Fuller (ADF) test? Are they testing the same thing? Or do we need to use them in different ...
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How to know if a time series is stationary or non-stationary?

I am using R, I searched on Google and learnt that kpss.test(), PP.test(), and adf.test() ...
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1answer
675 views

How could I confirm if the time series is stationary?

I'm using KPSS method to check if the time series is stationary, but I would also like to use another test to confirm the hypothesis that the time series is stationary. I'm already using Unit root ...