Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance
See also: kpss rvlm lo robwhittle roblm lobrob gph sclmtest neweywest

Quantlet: kpssnum
Description: Calculation of the KPSS statistics for I(0) against long-memory alternatives. We consider the two tests, denoted by KPSS_mu and KPSS_t, and respectively based on a regression on a constant mu, and on a constant and a time trend t. The quantlet returns the value of the estimated statistic for two type of the tests, i.e., const or trend and the critical values for a 95 percent confidence interval for I(0) (const, trend).


Reference(s):

Usage: (kp, critvalue) = kpssnum(y,T)
Input:
y vector
T scalar, truncation lag for the autocorrelation consistent variance estimator
Output:
kp vector
critvalue vector

Example:

;Non-stationarity test on the series dmus58.dat. 

library("times")

x = read("dmus58.dat") ; 25477 obs: log FX rates

x = x[1:1000]

kpssnum(x,0) ; 

Result:




Library: finance
See also: kpss rvlm lo robwhittle roblm lobrob gph sclmtest neweywest

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Gilles Teyssiere, 980425. Revised 990120
(C) MD*TECH Method and Data Technologies, 21.9.2000