Kwiatkowski et al. Unit Root Test
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".
ur.kpss(y, type = c("mu", "tau"), lags = c("short", "long", "nil"),
use.lag = NULL)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. |
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.
An object of class ur.kpss.
Bernhard Pfaff
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)'.
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)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.