kpssstat-class {uroot} | R Documentation |
This class contains information from the Kwiatkowski-Phillips-Schmidt-Shin test.
wts
:"ts"
: A univariate time series. The input.lmkpss
:"lm"
: Auxiliar regression.ltrunc
:"numeric"
: Lag truncation parameter.levelst
:"numeric"
: Statistic for level-stationarity.trendst
:"numeric"
: Statistic for stationarity around a
deterministic trendsignature(object = "kpssstat")
: This method shows the relevant information from the
KPSS test.kpssstat
object and three higher than that.Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es
D. Kwiatkowski, P.C.B. Phillips, P. Schmidt and Y. Shin (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178.