 Usage:  {kp, critvalue} = kpss(y {,t {,output}})  

 

 Input:



  y                      vector 

                         

  t                      scalar, truncation lag for the autocorrelation consistent variance estimator, 

                         if t is not specified, the kpss statistic is calculated for t=0, 7 and 21 

                         

  output                 0 or 1, a text output is shown in the XploRe output window if output = 1 

                         

 Output:



  kp                     vector, KPSS statistics KPSS_mu and KPSS_t 

                         

  critvalue              matrix, critic. values for 10% (1. row), 5% (2. rows) and 

                         1% (3. row) for the kpss test with a constant (1. col) 

                         and with a constant and linear trend (2. col) 

                         

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(C) MD*TECH Method and Data Technologies, 21.9.2000

