urca (version 1.3-0)

ur.kpss: Kwiatkowski et al. Unit Root Test

Description

Performs the KPSS unit root test, where the Null hypothesis is stationarity. The test types specify as deterministic component either a constant "mu" or a constant with linear trend "tau".

Usage

ur.kpss(y, type = c("mu", "tau"), lags = c("short", "long", "nil"), use.lag = NULL)

Arguments

y
Vector to be tested for a unit root.
type
Type of deterministic part.
lags
Maximum number of lags used for error term correction.
use.lag
User specified number of lags.

Value

An object of class ur.kpss.

Details

lags="short" sets the number of lags to $\root 4 \of {4 \times (n/100)}$, whereas lags="long" sets the number of lags to $\root 4 \of {12 \times (n/100)}$. If lags="nil" is choosen, then no error correction is made. Furthermore, one can specify a different number of maximum lags by setting use.lag accordingly.

References

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (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.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

See Also

ur.kpss-class

Examples

Run this code
data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
gnp.l <- log(gnp)
kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short")
summary(kpss.gnp)

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