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)

Value

An object of class ur.kpss.

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.

Author

Bernhard Pfaff

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)'.

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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