kss

Purpose

Computes the KSS unit root test.

Format

{ kss_t, p, cv } = kss(y, model[, pmax, ic])
Parameters:
  • y (Nx1 matrix) – Time series data to be tested.

  • model (Scalar) –

    Model to be implemented.

    0

    Zero mean & no trend

    1

    Constant included.

    2

    Constant and trend.

  • pmax (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.

  • ic (Scalar) –

    Optional, the information criterion used for choosing lags. Default = 3.

    1

    Akaike.

    2

    Schwarz.

    3

    t-stat significance.

Returns:
  • kss_t (Scalar) – KSS tau-statistic

  • p (Scalar) – Chosen number of lags.

  • cv (Vector) – 1, 5, and 10 percent critical values for KSS tau-stat based on response surfaces.

Examples

library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/TSe.dat");

// Run model with constant
model = 1;

// Run test
stat = kss(y, model);

Source

kss.src

See also

Functions adf(), kss() qr_fourier_kss()