English, Article edition: KPSS: Stata module to compute Kwiatkowski-Phillips-Schmidt-Shin test for stationarity Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/102643
Physical Description
  • code
Language
  • English

Edition details

Title
  • KPSS: Stata module to compute Kwiatkowski-Phillips-Schmidt-Shin test for stationarity
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • kpss performs the Kwiatkowski, Phillips, Schmidt, Shin (KPSS, 1992) test for stationarity of a time series. This test differs from those in common use (such as dfuller and pperron) by having a null hypothesis of stationarity. The test may be conducted under the null of either trend stationarity (the default) or level stationarity. Inference from this test is complementary to that derived from those based on the Dickey-Fuller distribution. The KPSS test is often used in conjunction with those tests to investigate the possibility that a series is fractionally integrated (that is, neither I(1) nor I(0)). This is version 1.2.2 of the software, updated from that published in STB-58, and compatible with Stata version 8 syntax. It may be applied to a single timeseries in a panel with the if qualifier or to all timeseries with the by prefix.
  • timeseries, unit root, stationarity
  • RePEc:boc:bocode:s410401
Language
  • English
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