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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.
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 ...
Jun 16, 2012 at 7:53
I am using R, I searched on Google and learnt that
kpss.test(), PP.test(), and adf.test() ...
Apr 29, 2012 at 9:40
To check whether the data is stationary or not, I computed KPSS and ADF test and got the following results
Oct 10, 2016 at 4:42
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.
Dec 20, 2014 at 8:26
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.
R, I have found periodicity ...
Jul 22, 2016 at 10:04
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....
Aug 27, 2013 at 12:28
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 ...
Dec 28, 2015 at 17:07
As my previous questions I'm trying to solve a problem with my stocks tests.
I tried Breusch-Pagan test for heteroscedasticity but some residuals still pass these tests.
My procedure is:
Get two ...
Sep 15, 2011 at 13:35
I'm using R to calculate the KPSS to check the stationarity.
The library that I'm using is tseries and the function is kpss.test
I have done a simple test using cars (a default matrix on R). The ...
Jul 18, 2011 at 21:18
I am checking stationarity or non-stationarity of a time series with R and I am using
adf.test and kpss.test in ...
Mar 17, 2013 at 17:51
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:...
Feb 16, 2015 at 21:48
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 ...
Jul 22, 2019 at 18:50
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 ...
Jul 6, 2015 at 2:31
I am doing the augumented Dickey-Fuller test to check if my series are stationary or not.
Jul 18, 2015 at 14:51
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 ...
Mar 1, 2014 at 19:24
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:
Jun 1, 2019 at 0:51
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