R: Kwiatkowski et al. Unit Root Test

ur.kpss {urca} | R Documentation

## Kwiatkowski et al. Unit Root Test

### Description

Performs the KPSS unit root test, where the Null hypothesis is stationarity. The test types specify as deterministic component either a constant `"mu"` or a constant with linear trend `"tau"`.

### Usage

    ur.kpss(y, type = c("mu", "tau"), lags = c("short", "long", "nil"),
            use.lag = NULL)

### Arguments

`y` | Vector to be tested for a unit root.
`type` | Type of deterministic part.
`lags` | Maximum number of lags used for error term correction.
`use.lag` | User specified number of lags.

### Details

`lags="short"` sets the number of lags to \root 4 \of {4 \times (n/100)}, whereas `lags="long"` sets the number of lags to \root 4 \of {12 \times (n/100)}. If `lags="nil"` is choosen, then no error correction is made. Furthermore, one can specify a different number of maximum lags by setting `use.lag` accordingly.

### Value

An object of class `ur.kpss`.

### Author(s)

Bernhard Pfaff

### References

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

### See Also

`ur.kpss-class`

### Examples

    data(nporg)
    gnp <- na.omit(nporg[, "gnp.r"])
    gnp.l <- log(gnp)
    kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short")
    summary(kpss.gnp)

[Package urca version 1.3-0 Index]