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.

Filter by
Sorted by
Tagged with
0
votes
0answers
25 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: ...
0
votes
0answers
19 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. ...
0
votes
1answer
29 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 ...
0
votes
0answers
24 views

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 ...
1
vote
0answers
44 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? ...
1
vote
2answers
170 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 ...
0
votes
1answer
680 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: ...
0
votes
1answer
67 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 ...
2
votes
1answer
79 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 ...
0
votes
1answer
78 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 ...
0
votes
1answer
4k 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 ...
-1
votes
1answer
117 views

Arima - Tests detect nonseasonality of time series

I have a following time series: ...
1
vote
1answer
2k 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 ...
1
vote
1answer
2k 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 ...
3
votes
2answers
3k 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 ...
1
vote
0answers
258 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 ...
4
votes
3answers
630 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 ...
0
votes
1answer
449 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 ...
5
votes
3answers
11k 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 ...
2
votes
0answers
585 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 ...
0
votes
1answer
3k 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 ...
1
vote
0answers
345 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 ...
2
votes
1answer
3k views

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

I stuck in checking my Time Seies for stationarity with several tests: ...
1
vote
1answer
74 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 ...
5
votes
3answers
1k 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, ...
3
votes
1answer
329 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: ...
0
votes
2answers
2k 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 ...
2
votes
1answer
1k 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 ...
0
votes
1answer
257 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 ...
0
votes
1answer
972 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 ...
0
votes
1answer
494 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 ...
1
vote
1answer
2k views

Interpretation of ADF Test

I am doing the augumented Dickey-Fuller test to check if my series are stationary or not. ...
2
votes
1answer
4k 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 ...
1
vote
1answer
3k 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 ...
3
votes
1answer
1k 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 ...
3
votes
2answers
5k 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 ...
1
vote
1answer
726 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 ...
2
votes
3answers
8k 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:...
7
votes
1answer
2k 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. ...
1
vote
1answer
268 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 ...
1
vote
0answers
179 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 ...
1
vote
2answers
4k 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 ...
3
votes
2answers
3k views

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....
2
votes
0answers
551 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 ...
0
votes
1answer
10k views

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: ...
0
votes
1answer
426 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 ...
2
votes
0answers
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 ...
5
votes
1answer
2k views

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 ...
7
votes
1answer
475 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 ...
0
votes
1answer
211 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 ...