Note: This page has been translated by MathWorks. Please click here

To view all translated materials including this page, select Japan from the country navigator on the bottom of this page.

To view all translated materials including this page, select Japan from the country navigator on the bottom of this page.

Paired integration and stationarity tests

`i10test(X)`

`i10test(X,Name,Value)`

`H = i10test(___)`

```
[H,PValue]
= i10test(___)
```

`i10test(`

displays
the results of paired integration and stationarity tests on the variables
in `X`

)`X`

.

`i10test(`

uses
additional options specified by one or more `X`

,`Name,Value`

)`Name,Value`

pairs.
If you specify the `numDiffs`

option, the paired
integration and stationarity tests are conducted on the variables
in `X`

and their specified differences.

Paired integration and stationarity tests have been suggested as a method for mutual confirmation of individual test results (for example, Kwiatkowski, Phillips, Schmidt, and Shin [1]). However, on the same set of data, different integration tests might disagree, different stationarity tests might disagree, and stationarity tests might fail to confirm integration tests. Still, Monte Carlo studies (for example, Amano and van Norden [2], Burke[3]) suggest that paired testing is generally more reliable than using either type of test alone.

[1] Kwiatkowski, D., P. C. B. Phillips, P.
Schmidt, and Y. Shin. “Testing the Null Hypothesis of Stationarity
Against the Alternative of a Unit Root.” *Journal
of Econometrics*. Vol. 54, 1992, pp. 159–178.

[2] Amano, R. A., and S. van Norden. “Unit Root Tests and the Burden of Proof.” Bank of Canada. Working paper 92–7, 1992.

[3] Burke, S. P. “Confirmatory Data Analysis: The Joint Application of Stationarity and Unit Root Tests.” University of Reading, UK. Discussion paper 20, 1994.

Was this topic helpful?