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.
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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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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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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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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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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 ...
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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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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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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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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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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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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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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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Using KPSS test in Python with statsmodels
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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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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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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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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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Is the order important when applying unit root tests?
I'm using KPSS unit root test with a vector of 700 observations.
The test return a p-value of 0.1 (so it seems stationary), but if I reverse the vector the KPSS test tells me the vector is not ...
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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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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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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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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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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:
<...
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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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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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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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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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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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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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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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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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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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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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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 ...
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Order of integration for a time series with constant mean and increasing variance
I am trying to find the order of integration of a time series. I checked for stationarity using the ADF and KPSS tests. Both the tests indicated non-stationarity, so I differenced the series once and ...
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Testing by using KPSS
When use KPSS to test the stationarity of data series I get this warning .Does it affect the final results?
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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:
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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 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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How is it possible that the statsmodels KPSS test rejects trend-stationarity but not stationarity?
take the time series in the code block below - if I run a KPSS test using statsmodels based on a regression around a constant (i.e. test for regular stationarity), ...
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Test to show that the underlying process of two non-stationary time-series are different?
Let's say I have carried out two experiments where something was changed in one compared to the other. I measure a feature in each experiment and therefore have the two time series for this feature, ...
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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 ...
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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 ...
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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 ...
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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 ...
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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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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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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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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 ...
