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.
16
questions
40
votes
4
answers
47k
views
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 ...
- 6,069
31
votes
3
answers
93k
views
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() ...
- 527
11
votes
4
answers
24k
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
...
- 111
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.
...
- 129
6
votes
3
answers
8k
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 ...
- 307
3
votes
2
answers
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....
- 31
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 ...
- 33
0
votes
1
answer
662
views
Heteroscedastic test does not solve the problem
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 ...
- 2,407
7
votes
1
answer
42k
views
How to interpret KPSS results?
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 ...
- 2,407
7
votes
1
answer
3k
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 ...
- 1,007
3
votes
3
answers
10k
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:...
- 245
2
votes
2
answers
1k
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 ...
- 23
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 ...
- 175
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.
...
- 685
1
vote
2
answers
9k
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 ...
- 113
1
vote
1
answer
4k
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: ...
- 77