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.

Filter by
Sorted by
Tagged with
0 votes
0 answers
19 views

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, ...
user avatar
  • 145
0 votes
0 answers
42 views

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: ...
user avatar
  • 145
0 votes
0 answers
16 views

KPPS stationary test [duplicate]

KPSS accepts the null hypothesis at 1%, but not at 5% or 10%. Could someone explain this to me please? KPSS statistic: 0,1524 Critical values: 1% 0,2160, 5% 0,1460 y 10% 0,1190. can I assume trend ...
user avatar
  • 1
2 votes
0 answers
30 views

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: <...
user avatar
  • 49
0 votes
0 answers
15 views

How to test for stationarity of a time series once a linear term is removed?

I see several methods to test if a time series is stationary. https://www.analyticsvidhya.com/blog/2021/06/statistical-tests-to-check-stationarity-in-time-series-part-1/ When a time series is not ...
user avatar
0 votes
1 answer
107 views

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 ...
user avatar
0 votes
1 answer
470 views

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. ...
user avatar
  • 3
1 vote
0 answers
66 views

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 ...
user avatar
  • 11
1 vote
0 answers
119 views

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 ...
user avatar
  • 23
1 vote
0 answers
35 views

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 ...
user avatar
1 vote
1 answer
123 views

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: ...
user avatar
  • 233
0 votes
0 answers
79 views

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 ...
user avatar
0 votes
0 answers
99 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: ...
user avatar
0 votes
0 answers
110 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. ...
user avatar
1 vote
1 answer
634 views

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 ...
user avatar
  • 80
1 vote
0 answers
99 views

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? ...
user avatar
  • 111
2 votes
2 answers
870 views

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 ...
user avatar
  • 23
1 vote
1 answer
3k 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: ...
user avatar
  • 67
0 votes
1 answer
182 views

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 ...
user avatar
2 votes
1 answer
174 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 ...
user avatar
  • 123
0 votes
1 answer
108 views

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 ...
user avatar
  • 3
0 votes
1 answer
7k 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 ...
user avatar
-1 votes
1 answer
121 views

Arima - Tests detect nonseasonality of time series

I have a following time series: ...
user avatar
  • 41
1 vote
1 answer
4k views

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 ...
user avatar
  • 135
1 vote
1 answer
3k views

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 ...
user avatar
3 votes
2 answers
6k 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 ...
user avatar
  • 31
1 vote
0 answers
365 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 ...
user avatar
  • 129
5 votes
3 answers
913 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 ...
user avatar
  • 221
0 votes
1 answer
560 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 ...
user avatar
11 votes
4 answers
21k views

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 ...
user avatar
  • 111
2 votes
0 answers
858 views

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 ...
user avatar
  • 181
6 votes
2 answers
6k views

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 ...
user avatar
  • 307
1 vote
0 answers
535 views

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 ...
user avatar
  • 49
3 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: ...
user avatar
1 vote
1 answer
116 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 ...
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, ...
user avatar
  • 65
3 votes
1 answer
420 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: ...
user avatar
0 votes
2 answers
3k views

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 ...
user avatar
  • 3
2 votes
1 answer
2k views

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 ...
user avatar
  • 33
0 votes
1 answer
277 views

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 ...
user avatar
  • 33
0 votes
1 answer
1k 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 ...
user avatar
  • 229
0 votes
1 answer
816 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 ...
user avatar
1 vote
1 answer
3k views

Interpretation of ADF Test

I am doing the augumented Dickey-Fuller test to check if my series are stationary or not. ...
user avatar
  • 675
2 votes
1 answer
6k views

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 ...
user avatar
  • 675
1 vote
1 answer
4k views

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 ...
user avatar
  • 175
4 votes
1 answer
2k views

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 ...
user avatar
  • 1,325
3 votes
2 answers
6k views

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 ...
user avatar
  • 33
1 vote
1 answer
1k 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 ...
user avatar
  • 151
3 votes
3 answers
9k views

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:...
user avatar
  • 235
8 votes
1 answer
3k views

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. ...
user avatar
  • 129