I'm trying to understand how to use kpss.test() properly. If I have a
level stationary series like rnorm() in the help page, shouldn't I get a
small p-value with the null hypothesis set to "Trend"? The (condensed)
output from kpss.test() for the two possible null hypotheses is given
below. I don't see any significant difference between these results.
> x <- rnorm(1000) # is level stationary
> kpss.test(x, null="Level")
KPSS Test for Level Stationarity
KPSS Level = 0.0638, Truncation lag parameter = 7, p-value = 0.1
Warning: p-value greater than printed p-value
> kpss.test(x, null="Trend")
KPSS Test for Trend Stationarity
KPSS Trend = 0.0275, Truncation lag parameter = 7, p-value = 0.1
Warning: p-value greater than printed p-value
I can't get the original reference easily.
Scott Waichler
Pacific Northwest National Laboratory
[EMAIL PROTECTED]
______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
