On Wed, 9 Mar 2005 14:32:09 -0500 (EST) Weiguang Shi wrote: > --- Achim Zeileis <[EMAIL PROTECTED]> > wrote: > > > First of all, could you tell me what the "KPSS > > Level" > > > in the output of the test means? > Thanks. But I meant to also ask about the number after > that, e.g., > KPSS Level = 0.0027
If you wouldn't have deleted my reply to that question, you could still see the answer! It was: <quote> It means that you tested for level stationarity and gives you the test statistic. </quote> Note the second half of the sentence. > > Please check the references of kpss.test or any book > > on economectric > > time series analysis for which alternatives the KPSS > > test was designed. > Will soon do. > > > Hint: it's not designed for detecting cyclical > > variations. > OK. I guess there must be some pre-requisite on the > data before kpss-ing it. In particular it means: There are infinitely many conceivable ways of deviation from stationarity and the KPSS test is only good at detecting certain kinds of deviation (which do not include cyclical variations). Z ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
