kpss

Purpose

Test for stationarity using a Lagrange Multiplier score statistic.

Format

{ tstat, crit } = kpss(y, max_lags[, trend, qsk, auto, print_out])

Parameters:

• y (Nx1 vector) – data.

• max_lags (scalar) – Optional input, if max_lags <= 0, maximum lag set using Schwert criterion; if -1, Schwert criterion = 12; if 0, Schwert criterion = 4; else if max_lags > 0, maximum lag = max_lags. Default = 0.

• trend (scalar) – Optional input, 0 no trend, 1 trend. Default = 0.

• qsk (scalar) – Optional input, if nonzero, quadratic spectral kernel is used. Default = 0.

• auto (scalar) – Optional input, if nonzero, automatic maxlags computed. Default = 1.

• print_out (scalar) – Optional input, if nonzero, intermediate quantities printed to the screen. Default = 1.

Returns:

• tstat (matrix) – test statistic for each lag.

• crit (matrix) – Elliot, Rothenberg and Stock (1996) critical values for the GLS detrended unit root test at the 1%, 2.5%, 5%, and 10% significance level.

Example

new;
cls;
library tsmt;

/********************************************
** LOAD DATA
*********************************************/
npdb= loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/NPDB_orig.csv")';
lrgnp = log(npdb[., 4]);
yt =packr(lrgnp);

// Test using basic KPSS testing: Trend stationary
// Step One: Set-up testing parameters
// Maximum lags to include
max_lags = 5;

// Include trend
trend = 1;

// Use quadratic spectral kernel
qsk = 1;

// Automatic maxlag computation
auto = 1;

// Print results to screen
print_out = 1;

// Step Two: Running KPSS test
{ mat, crit } = kpss(yt, max_lags, trend, qsk, auto, print_out);

print "The tstats for all possible lags:";
mat;

print "Critical values:";
crit;

// Test using basic KPSS testing: Level stationary
// Step One: Set-up testing parameters
// Use defaults for:
// trend = no-trend
// qsk = Bno quadratic spectral kernel used
// printOut = printing output to screen.

// Set maxlags, implies no automatic lag calculation
max_lags = 8;

/ /Running the KPSS test
{ mat, crit } = kpss(yt, max_lags);

print "The tstats for all possible lags:";
mat;

print "Critical values:";
crit;

Library

tsmt

Source

kpss.src